Efficient Simulation Budget Allocation for Selecting an Optimal Subset

Abstract

We consider a class of the subset selection problem in ranking and selection. The objective is to identify the top m out of k designs based on simulated output. Traditional procedures are conservative and inefficient. Using the optimal computing budget allocation framework, we formulate the problem as that of maximizing the probability of correc tly selecting all of the top-m designs subject to a constraint on the total number of samples available. For an approximation of this corre ct selection probability, we derive an asymptotically optimal allocat ion and propose an easy-to-implement heuristic sequential allocation procedure. Numerical experiments indicate that the resulting allocatio ns are superior to other methods in the literature that we tested, and the relative efficiency increases for larger problems. In addition, preliminary numerical results indicate that the proposed new procedur e has the potential to enhance computational efficiency for simulation optimization.