Optimal Computing Budget Allocation Under Correlated Sampling

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 non-Gaussian setting are also discussed.

• Type: Conference
• Year: 2004
• Where: WSC
• Authors: Michael C. Fu, Jian-Qiang Hu, Chun-Hung Chen, Xiaoping Xiong
• Keywords: Allocation Procedures, Exact Optimal Allocation, Modeling And Simulation, Optimal Computing Budget Allocation, WSC 2004