Sequential Allocation over the Practical Range of a Convergence Rate
Abstract
Rate analysis and sequential allocation should be compared through complete procedures at operating budgets. The test includes pilots, update scheduling, and terminal verification, retaining near ties and unequal noise. A limiting rate can explain some behavior but does not measure all startup constants or establish the action's reliability at a particular deadline. This focused synthesis develops an empirical comparison that preserves the terminal action, observation process, and total verification cost. Its proposed tests are prospective; no new simulation run, model-training result, or intervention effect is reported.
References
Y. Li and S. Gao, “Convergence Rate Analysis for Optimal Computing Budget Allocation Algorithms,” Automatica, vol. 153, 111042, 2023.
S. Gao, L. H. Lee, C.-H. Chen, and L. Shi, “A Sequential Budget Allocation Framework for Simulation Optimization,” IEEE Transactions on Automation Science and Engineering, vol. 14, no. 2, pp. 1185–1194, 2017.
Chick, Stephen E., and Koichiro Inoue. “New Two-Stage and Sequential Procedures for Selecting the Best Simulated System.” Operations Research, vol. 49, no. 5, 2001, pp. 732–743. https://doi.org/10.1287/opre.49.5.732.10615.
Frazier, Peter I., Warren B. Powell, and Savas Dayanik. “A Knowledge-Gradient Policy for Sequential Information Collection.” SIAM Journal on Control and Optimization, vol. 47, no. 5, 2008, pp. 2410–2439. https://doi.org/10.1137/070693424.
Rasmussen, Carl Edward, and Christopher K. I. Williams. Gaussian Processes for Machine Learning. MIT Press, 2006. https://gaussianprocess.org/gpml/.
Sacks, Jerome, William J. Welch, Toby J. Mitchell, and Henry P. Wynn. “Design and Analysis of Computer Experiments.” Statistical Science, vol. 4, no. 4, 1989, pp. 409–423. https://doi.org/10.1214/ss/1177012413.
Bertsimas, Dimitris, and Melvyn Sim. “The Price of Robustness.” Operations Research, vol. 52, no. 1, 2004, pp. 35–53. https://doi.org/10.1287/opre.1030.0065.
Campi, Marco C., and Simone Garatti. “The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs.” SIAM Journal on Optimization, vol. 19, no. 3, 2008, pp. 1211–1230. https://doi.org/10.1137/07069821X.
Glasserman, Paul. Monte Carlo Methods in Financial Engineering. Springer, 2004. https://doi.org/10.1007/978-0-387-21617-1.
Ankenman, Bruce, Barry L. Nelson, and Jeremy Staum. “Stochastic Kriging for Simulation Metamodeling.” Operations Research, vol. 58, no. 2, 2010, pp. 371–382. https://doi.org/10.1287/opre.1090.0754.