Combined Screening and Selection of the Best with Control Variates

Shing Chih Tsai (), Barry L. Nelson () and Jeremy Staum ()
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Shing Chih Tsai: National Cheng Kung University
Barry L. Nelson: Northwestern University
Jeremy Staum: Northwestern University

A chapter in Advancing the Frontiers of Simulation, 2009, pp 263-289 from Springer

Abstract: Abstract Nelson and Staum derived ranking-and-selection (R&S) procedures that employ control-variate (CV) estimators instead of sample means to obtain greater statistical efficiency. However, control-variate estimators require more computational effort than sample means, and effective controls must be identified. In this paper, we present a new CV screening procedure to avoid much of the computation cost along with a better paired CV model than that of Nelson and Staum. We also present a two-stage CV combined procedure that captures the ability to eliminate inferior systems in the first stage and the statistical efficiency of control variates for selection in the second stage. Some guidelines about control-variate selection and an empirical evaluation are provided.

Keywords: Control Variate; Screen Procedure; Combine Procedure; Correct Selection; Initial Sample Size (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-1-4419-0817-9_12

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DOI: 10.1007/b110059_12

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