DocumentCode
2165292
Title
Optimal computing budget allocation under correlated sampling
Author
Fu, Michael C. ; Hu, Jian-Qiang ; Chen, Chun-Hung ; Xiong, Xiaoping
Author_Institution
Robert H. Smith Sch. of Bus., Maryland Univ., College Park, MD, USA
Volume
1
fYear
2004
fDate
5-8 Dec. 2004
Lastpage
603
Abstract
We consider the optimal computing budget allocation (OCBA) problem where the simulated designs are correlated. The exact optimal allocation is presented for two designs, and an approximation proposed for more than two designs. Numerical experiments for several examples compare the approximation with some other allocation procedures. Results on convergence rates and the nonGaussian setting are also discussed.
Keywords
budgeting; correlation methods; covariance analysis; optimisation; probability; resource allocation; sampling methods; simulation; correlated sampling; nonGaussian distribution; optimal computing budget allocation problem; Computational efficiency; Computational modeling; Convergence; Covariance matrix; Educational institutions; Manufacturing; Operations research; Personal communication networks; Sampling methods; Systems engineering and theory;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference, 2004. Proceedings of the 2004 Winter
Print_ISBN
0-7803-8786-4
Type
conf
DOI
10.1109/WSC.2004.1371366
Filename
1371366
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