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Robust ranking and selection with optimal computing budget allocation
10 references·8 citing·48 second hop
Robust ranking and selection with optimal computing budget allocation (2017)Robust ranking and selection with optimal…Quantifying Input Uncertainty via Simulation Confidence Intervals (2013)Quantifying Input Uncertainty…Robust Solutions of Optimization Problems Affected by Uncertain Probabilities (2012)Robust Solutions of Optimizat…Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Distributionally Robust Optim…Selecting a Selection Procedure (2007)Selecting a Selection Procedu…Worst-case robust decisions for multi-period mean–variance portfolio optimization (2006)Worst-case robust decisions f…A Large Deviations Perspective on Ordinal Optimization (2005)A Large Deviations Perspectiv…A large deviations perspective on ordinal optimization (2004)A large deviations perspectiv…Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Worst-Case Value-At-Risk and …A fully sequential procedure for indifference-zone selection in simulation (2001)A fully sequential procedure …Simulation Budget Allocation for Further Enhancing the Efficiency of Ordinal Optimization (2000)Simulation Budget Allocation …Ranking and selection for pairwise comparison (2023)Ranking and selection for pai…A Contextual Ranking and Selection Method for Personalized Medicine (2023)A Contextual Ranking and Sele…Stochastic optimization using grey wolf optimization with optimal computing budget allocation (2021)Stochastic optimization using…Stochastic simulation under input uncertainty: A Review (2020)Stochastic simulation under i…Selecting the Optimal System Design under Covariates (2019)Selecting the Optimal System …Optimal computing budget allocation for complete ranking with input uncertainty (2019)Optimal computing budget allo…Input–Output Uncertainty Comparisons for Discrete Optimization via Simulation (2019)Input–Output Uncertainty Comp…Simulation Budget Allocation for Selecting the Top-m Designs With Input Uncertainty (2018)Simulation Budget Allocation …Maxmin expected utility with non-unique prior (1989)Coherent Measures of Risk (1999)Robust Optimization (2009)A practical guide to robust optimization (2015)Data-driven robust optimization (2017)Distributionally Robust Stochastic Optimization with Wasserstein Distance (2022)Stochastic Approximation Methods for Constrained and Unconstrained Systems (1978)A Guide to Simulation (1983)Feature Article: Optimization for simulation: Theory vs. Practice (2002)Optimization for Simulation: Theory vs. Practice (2002)A Knowledge-Gradient Policy for Sequential Information Collection (2008)Simulation modeling for analysis (2010)Studies in Mathematical Theory of Inventory and Production (1959)Robust Convex Optimization (1998)Optimization of conditional value-at-risk (2000)Recent advances in robust optimization: An overview (2013)Distributionally Robust Convex Optimization (2014)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Portfolio Selection (1952)Stochastic Programming (2010)Dynamic Portfolio Selection Methods for Power Generation Assets (2011)Introduction to Stochastic Programming (2011)Fuzzy multi-period portfolio selection optimization models using multiple criteria (2012)Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks (2021)Global Portfolio Optimization (1992)Martingale Methods in Financial Modelling (1997)Robust Portfolio Selection Problems (2003)Distributionally Robust Optimization and Its Tractable Approximations (2010)60 Years of portfolio optimization: Practical challenges and current trends (2013)Simulation modelling and analysis (1983)Design and Analysis of Computer Experiments (1989)The Design and Analysis of Computer Experiments (2003)A Bayesian Framework for Quantifying Uncertainty in Stochastic Simulation (2014)An introductory guide for hybrid simulation modelers on the primary simulation methods in industrial engineering identified through a systematic review of the literature (2018)Convergence properties of ordinal comparison in the simulation of discrete event dynamic systems (1996)Optimal Sampling Laws for Stochastically Constrained Simulation Optimization on Finite Sets (2012)A Simulation Budget Allocation Procedure for Enhancing the Efficiency of Optimal Subset Selection (2015)Ranking and Selection as Stochastic Control (2018)Simulation Modeling and Analysis. 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this work references cited by second hop

References

  • 2010Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems1,910 cited
  • 2012Robust Solutions of Optimization Problems Affected by Uncertain Probabilities752 cited
  • 2000Simulation Budget Allocation for Further Enhancing the Efficiency of Ordinal Optimization746 cited
  • 2003Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach663 cited
  • 2001A fully sequential procedure for indifference-zone selection in simulation422 cited
  • 2007Selecting a Selection Procedure235 cited
  • 2005A Large Deviations Perspective on Ordinal Optimization142 cited
  • 2013Quantifying Input Uncertainty via Simulation Confidence Intervals112 cited
  • 2004A large deviations perspective on ordinal optimization102 cited
  • 2006Worst-case robust decisions for multi-period mean–variance portfolio optimization98 cited

Cited by

  • 2020Stochastic simulation under input uncertainty: A Review58 cited
  • 2018Simulation Budget Allocation for Selecting the Top-m Designs With Input Uncertainty51 cited
  • 2021Stochastic optimization using grey wolf optimization with optimal computing budget allocation49 cited
  • 2019Optimal computing budget allocation for complete ranking with input uncertainty

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41 cited
  • 2023Ranking and selection for pairwise comparison40 cited
  • 2019Input–Output Uncertainty Comparisons for Discrete Optimization via Simulation39 cited
  • 2023A Contextual Ranking and Selection Method for Personalized Medicine30 cited
  • 2019Selecting the Optimal System Design under Covariates30 cited