Title

Efficient multinomial selection in simulation

Keywords

Multinomial; Ranking and selection; Simulation

Abstract

Consider a simulation experiment consisting of v independent vector replications across k systems, where in any given replication one system is selected as the best performer (i.e., it wins). Each system has an unknown constant probability of winning in any replication and the numbers of wins for the individual systems follow a multinomial distribution. The classical multinomial selection procedure of Bechhofer. Elmaghraby, and Morse (Procedure BEM) prescribes a minimum number of replications, denoted as v*, so that the probability of correctly selecting the true best system (PCS) meets or exceeds a prespecified probability. Assuming that larger is better, Procedure BEM selects as best the system having the largest value of the performance measure in more replications than any other system. We use these same v* replications across k systems to form (v*)k pseudoreplications that contain one observation from each system, and develop Procedure AVC (All Vector Comparisons) to achieve a higher PCS than with Procedure BEM. For specific small-sample cases and via a large-sample approximation we show that the PCS with Procedure AVC exceeds the PCS with Procedure BEM. We also show that with Procedure AVC we achieve a given PCS with a smaller v than the v* required with Procedure BEM. © 5 1998 John Wiley & Sons, Inc.

Publication Date

1-1-1998

Publication Title

Naval Research Logistics

Volume

45

Issue

5

Number of Pages

459-482

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1002/(SICI)1520-6750(199808)45:5<459::AID-NAV2>3.0.CO;2-2

Socpus ID

0032140106 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/0032140106

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