DocumentCode
1912538
Title
Performance measures for Ranking and Selection procedures
Author
Waeber, Rolf ; Frazier, Peter I. ; Henderson, Shane G.
Author_Institution
Dept. of Oper. Res. & Inf. Eng., Cornell Univ., Ithaca, NY, USA
fYear
2010
fDate
5-8 Dec. 2010
Firstpage
1235
Lastpage
1245
Abstract
To efficiently compare Ranking and Selection procedures, we present a three-layer performance evaluation process. The two most popular formulations, namely the Bayes and Indifference Zone formulations, have a common representation analogous to convex risk measures used in quantitative risk management. We study decision makers´ acceptance sets via an axiomatic approach and introduce a new performance measure using computational cost.
Keywords
Bayes methods; decision making; financial management; risk management; stochastic processes; Bayes formulations; axiomatic approach; decision maker acceptance sets; indifference zone formulations; performance evaluation process; quantitative risk management; ranking procedure; selection procedure; Bayesian methods; Computational modeling; Optimization; Performance evaluation; Q measurement; Random variables;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference (WSC), Proceedings of the 2010 Winter
Conference_Location
Baltimore, MD
ISSN
0891-7736
Print_ISBN
978-1-4244-9866-6
Type
conf
DOI
10.1109/WSC.2010.5679067
Filename
5679067
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