Chance constrained selection of the best

L. Jeff Hong, Jun Luo, Barry L. Nelson

Research output: Contribution to journalArticle

6 Scopus citations

Abstract

Selecting the solution with the largest or smallest mean of a primary performance measure from a finite set of solutions while requiring secondary performance measures to satisfy certain constraints is called constrained selection of the best (CSB) in the simulation ranking and selection literature. In this paper, we consider CSB problems with secondary performance measures that must satisfy probabilistic constraints, and we call such problems chance constrained selection of the best (CCSB). We design procedures that first check the feasibility of all solutions and then select the best among all the sample feasible solutions. We prove the statistical validity of these procedures for variations of the CCSB problem under the indifference-zone formulation. Numerical results show that the proposed procedures can efficiently handle CCSB problems with up to 100 solutions, each with five chance constraints.

Original languageEnglish (US)
Pages (from-to)317-334
Number of pages18
JournalINFORMS Journal on Computing
Volume27
Issue number2
DOIs
StatePublished - Mar 1 2015

Keywords

  • Chance constraints
  • Hypothesis test
  • Multiple performance measures
  • Ranking and selection
  • Simulation
  • Statistical validity

ASJC Scopus subject areas

  • Software
  • Information Systems
  • Computer Science Applications
  • Management Science and Operations Research

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