Ranking and Selection as Stochastic Control

Under a Bayesian framework, we formulate the fully sequential sampling and selection decision in statistical ranking and selection as a stochastic control problem, and derive the associated Bellman equation. Using a value function approximation, we derive an approximately optimal allocation policy....

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Bibliographic Details
Published in:	IEEE transactions on automatic control Vol. 63; no. 8; pp. 2359 - 2373
Main Authors:	Peng, Yijie, Chong, Edwin K. P., Chen, Chun-Hung, Fu, Michael C.
Format:	Journal Article
Language:	English
Published:	New York IEEE 01-08-2018 The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subjects:	Approximation algorithms Bayes methods Bayesian Bayesian analysis Dynamic programming dynamic sampling and selection Function approximation Mathematical model Optimal control Optimization Ranking Ranking (statistics) ranking and selection (R&S) Resource management Sequential sampling simulation stochastic control Stochastic processes
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