An asymptotic allocation for simultaneous simulation experiments

Hsiao-Chang Chen, Chun-Hung Chen, Jianwu Lin, Enver Yücesan
1999 Proceedings of the 31st conference on Winter simulation Simulation---a bridge to the future - WSC '99  
In this paper, we consider the allocation of a fixed total number of simulation replications among competing design alternatives in order to (i) identify the best simulated design, (ii) intelligently determine the best simulation run lengths for all simulation experiments, and (iii) significantly reduce the total computation cost. An asymptotically optimal allocation rule for maximizing a lower bound of the probability of correct selection is presented. Moreover, we illustrate the efficiency of
more » ... our method with a series of generic numerical experiments. The simulation cost is significantly reduced with our sequential approach.
doi:10.1145/324138.324242 fatcat:c7x5lkwt5zgh3drmti4ee7brc4