Title :
A fully sequential procedure for known and equal variances based on multivariate Brownian motion
Author :
Dieker, A.B. ; Seong-Hee Kim
Author_Institution :
Georgia Inst. of Technol., Atlanta, GA, USA
Abstract :
We consider the problem of identifying the system with the largest expected mean among a number of simulated systems. We provide a new fully sequential procedure whose continuation region is developed based on multivariate Brownian motion when the variances of the systems are known and equal. We provide an approximation to determine the procedure parameters and we show experimental results.
Keywords :
Brownian motion; approximation theory; simulation; approximation; fully sequential procedure; multivariate Brownian motion; simulated systems; Approximation methods; Bayes methods; Brownian motion; Computational modeling; Silicon; Standards; Vectors;
Conference_Titel :
Simulation Conference (WSC), 2014 Winter
Conference_Location :
Savanah, GA
Print_ISBN :
978-1-4799-7484-9
DOI :
10.1109/WSC.2014.7020203
