Fully Sequential Procedures for Large-Scale Ranking-and-Selection Problems in Parallel Computing Environments

Fully Sequential Procedures for Large-Scale Ranking-and-Selection Problems in Parallel Computing Environments

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Article ID: iaor20164701
Volume: 63
Issue: 5
Start Page Number: 1177
End Page Number: 1194
Publication Date: Oct 2015
Journal: Operations Research
Authors: , , ,
Keywords: computers, simulation
Abstract:

Fully sequential ranking‐and‐selection (R&S) procedures to find the best from a finite set of simulated alternatives are often designed to be implemented on a single processor. However, parallel computing environments, such as multi‐core personal computers and many‐core servers, are becoming ubiquitous and easily accessible for ordinary users. In this paper, we propose two types of fully sequential procedures that can be used in parallel computing environments. We call them vector‐filling procedures and asymptotic parallel selection procedures, respectively. Extensive numerical experiments show that the proposed procedures can take advantage of multiple parallel processors and solve large‐scale R&S problems.

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