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http://hdl.handle.net/1942/30508
Title: | Multiobjective ranking and selection with correlation and heteroscedastic noise | Authors: | Branke, Juergen VAN NIEUWENHUYSE, Inneke Rojas-Gonzalez, Sebastian |
Issue Date: | 2019 | Publisher: | IEEE | Source: | Mustafee, N.; Bae, K.-H.G.; Lazarova-Molnar, S.; Rabe, M.; Szabo, C.; Haas, P.; Son, Y.-J. (Ed.). Proceedings - Winter Simulation Conference,p. 3392-3403 | Series/Report: | Winter Simulation Conference Proceedings | Abstract: | We consider multi-objective ranking and selection problems with heteroscedastic noise and correlation between the mean values of alternatives. From a Bayesian perspective, we propose a sequential sampling technique that uses a combination of screening, stochastic kriging metamodels, and hypervolume estimates to decide how to allocate samples. Empirical results show that the proposed method only requires a small fraction of samples compared to the standard EQUAL allocation method, with the exploitation of the correlation structure being the dominant contributor to the improvement. | Document URI: | http://hdl.handle.net/1942/30508 | ISBN: | 978-1-7281-3283-9 | ISSN: | 0891-7736 | ISI #: | 000529791403022 | Rights: | Winter Simulation Conference 2019 2020. | Category: | C1 | Type: | Proceedings Paper | Validations: | ecoom 2021 |
Appears in Collections: | Research publications |
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paperSebastian_finalproceedings.pdf Restricted Access | Published version | 5.57 MB | Adobe PDF | View/Open Request a copy |
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