Robert H. Smith School of Business

Permanent URI for this communityhttp://hdl.handle.net/1903/1584

Browse

Filters

2012 - 20173

Settings

Author: search.filters.author.Chen, Chun-Hung

Search Results

Now showing 1 - 3 of 3
  • Thumbnail Image
    Item
    Online Appendix for “Gradient-Based Myopic Allocation Policy: An Efficient Sampling Procedure in a Low-Confidence Scenario”
    (2017) Peng, Yijie; Chen, Chun-Hung; Fu, Michael; Hu, Jian-Qiang
    This is the online appendix, which includes theoretical and numerical supplements containing some technical details and three additional numerical examples, which could not fit in the main body due to page limits by the journal for a technical note. The abstract for the main body is as follows: In this note, we study a simulation optimization problem of selecting the alternative with the best performance from a finite set, or a so-called ranking and selection problem, in a special low-confidence scenario. The most popular sampling allocation procedures in ranking and selection do not perform well in this scenario, because they all ignore certain induced correlations that significantly affect the probability of correct selection in this scenario. We propose a gradient-based myopic allocation policy (G-MAP) that takes the induced correlations into account, reflecting a trade-off between the induced correlation and the two factors (mean-variance) found in the optimal computing budget allocation formula. Numerical experiments substantiate the efficiency of the new procedure in the low-confidence scenario.
  • Thumbnail Image
    Item
    Online Appendix for “Ranking and Selection as Stochastic Control”
    (2017-04) Peng, Yijie; Chong, Edwin K. P.; Chen, Chun-Hung; Fu, Michael C.
  • Thumbnail Image
    Item
    Online Supplement to `Efficient Simulation Resource Sharing and Allocation for Selecting the Best'
    (2012) Peng, Yijie; Chen, Chun-Hung; Fu, Michael; Hu, Jian-Qiang
    This is the online supplement to the article by the same authors, "Efficient Simulation Resource Sharing and Allocation for Selecting the Best," published in the IEEE Transactions on Automatic Control.