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Self-adjusting the tolerance level in a fully sequential feasibility check procedure
- Authors
- Lee, Mi Lim; Park, Chuljin; Park, Dong Uk
- Issue Date
- 1-Dec-2018
- Publisher
- ELSEVIER SCIENCE BV
- Keywords
- Simulation; Stochastic constraints; Ranking and selection; Fully sequential algorithms; Multiple performance measures
- Citation
- EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, v.271, no.2, pp.733 - 745
- Journal Title
- EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
- Volume
- 271
- Number
- 2
- Start Page
- 733
- End Page
- 745
- ISSN
- 0377-2217
- Abstract
- We consider the problem of determining the feasibility of systems when the performance measures in stochastic constraints need to be evaluated via simulation. We develop a new procedure, namely the adaptive feasibility check procedure. Specifically, the procedure uses an existing feasibility check procedure iteratively as its subroutine with a decreasing sequence of tolerance levels. Our procedure is designed to return the set of strictly feasible systems with at least a prespecified probability. The validity and efficiency of the procedure are investigated through both analytical and experimental results. The procedure is also tested using numerical examples. (C) 2018 Elsevier B.V. All rights reserved.
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Related Researcher
- Lee, Mi Lim
- Business Administration (Business Administration)