Article ID: | iaor20073154 |
Country: | United States |
Volume: | 53 |
Issue: | 5 |
Start Page Number: | 464 |
End Page Number: | 476 |
Publication Date: | Aug 2006 |
Journal: | Naval Research Logistics |
Authors: | Hong L. Jeff |
Keywords: | simulation |
Fully sequential indifference-zone selection procedures have been proposed in the simulation literature to select the system with the best mean performance from a group of simulated systems. However, the existing sequential indifference-zone procedures allocate an equal number of samples to the two systems in comparison even if their variances are drastically different. In this paper we propose new fully sequential indifference-zone procedures that allocate samples according to the variances. We show that the procedures work better than several existing sequential indifference-zone procedures when variances of the systems are different.