Efficient Multinomial Selection In Simulation

Abstract

This report considers a simulation experiment consisting of v independent vector observations or replications across k systems, where in any given replication one and only one system is selected as the best performer (i.e., it wins) based on some performance measure. 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*, 50 that the probability of correctly selecting the true best system 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.

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Document Details

Document Type
Technical Report
Publication Date
Jan 09, 1997
Accession Number
ADA319837

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  • J. O. Miller

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  • Air Force Institute of Technology

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  • C4I

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  • Mathematics

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