A worst‐case formulation for constrained ranking and selection with input uncertainty
Abstract
In this research, we consider robust simulation optimization with stochastic constraints. In particular, we focus on the ranking and selection problem in which the computing time is sufficient to evaluate all the designs (solutions) under consideration. Given a fixed simulation budget, we aim at maximizing the probability of correct selection (PCS) for the best feasible design, where the objective and constraint measures are assessed by their...
Paper Details
Title
A worst‐case formulation for constrained ranking and selection with input uncertainty
Published Date
Oct 24, 2019
Journal
Volume
66
Issue
8
Pages
648 - 662
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