TY - GEN
T1 - Using Simulation to Approximate the Minimum Cost of a Finite Set of Alternatives
AU - Zheng, Cuicui
AU - Calvin, James
N1 - Publisher Copyright:
© 2019 IEEE.
PY - 2019/12
Y1 - 2019/12
N2 - We consider the problem of approximating the minimum cost of a finite set of alternative systems. We can not directly observe the cost of the systems, but we can estimate the cost using simulation. The simulation run lengths are adaptively chosen for each system. We describe an optimization algorithm and establish a bound on the error convergence rate. Compared with a single system, the error grows by an additional factor of the square root of the logarithm of the number of systems and the simulation budget.
AB - We consider the problem of approximating the minimum cost of a finite set of alternative systems. We can not directly observe the cost of the systems, but we can estimate the cost using simulation. The simulation run lengths are adaptively chosen for each system. We describe an optimization algorithm and establish a bound on the error convergence rate. Compared with a single system, the error grows by an additional factor of the square root of the logarithm of the number of systems and the simulation budget.
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U2 - 10.1109/WSC40007.2019.9004840
DO - 10.1109/WSC40007.2019.9004840
M3 - Conference contribution
AN - SCOPUS:85081132095
T3 - Proceedings - Winter Simulation Conference
SP - 3428
EP - 3435
BT - 2019 Winter Simulation Conference, WSC 2019
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2019 Winter Simulation Conference, WSC 2019
Y2 - 8 December 2019 through 11 December 2019
ER -