Sequential Sampling for Bayesian Robust Ranking and Selection

Abstract

We consider a Bayesian ranking and selection problem in the presence of input distribution uncertainty. The distribution uncertainty is treated from a robust perspective. A naive extension of the knowledge gradient (KG) policy fails to converge in the new robust setting. We propose several stationary policies that extend KG in various aspects. Numerical experiments show that the proposed policies have excellent performance in terms of both probability of correction selection and normalized opportunity cost.

Publication
Proceedings of the 2016 Winter Simulation Conference, 758–769
ranking and selection knowledge gradient Bayesian robust optimization
Xiaowei Zhang

My research interests include AI simulation, reinforcement learning, and stochastic optimization with applications in business operations, finance, and digital economy.