Advancing Constrained Ranking and Selection With Regression in Partitioned Domains.

Ranking and selection (R&S) procedures are powerful tools to enhance the efficiency of simulation-based optimization. In this paper, we consider the R&S problem subject to stochastic constraints and seek to improve the selection efficiency by incorporating the information from across the domain into quadratic regression metamodels. To better fulfill the quadratic assumption of the regression metamodel used in this paper, we divide the solution space into adjacent partitions such that the underlying functions of both the objective and constraint measures in each partition are approximately quadratic with homogeneous noise. Using the large deviations theory, we characterize the asymptotically optimal allocation rule by maximizing the rate at which the probability of false selection tends to zero. Numerical experiments demonstrate that our approach dramatically improves the selection efficiency by 50%–90% on some typical selection examples compared with the existing approaches. Note to Practitioners—Simulation is widely used for designing and analyzing complex discrete-event systems such as manufacturing production systems, transportation systems, and supply chain operations. However, efficiency is still a significant concern when using simulation for stochastic optimization problems, especially in the presence of stochastic constraints. This paper was motivated by the problem of selecting the best feasible design (solution) from a finite set of alternatives given anobjective and stochastic constraints, where the performances of the objective and constraint measures can be estimated via simulation. Different from the existing approaches in the literature, in this paper, we propose a new R&S procedure using regression metamodels. Given a fixed amount of computing budget, our approach determines the asymptotic optimal number of simulation replications for each design. It can be shown through numerical experiments that the proposed approach can significantly improve the selection efficiency by more than 50% over the existing methods on some typical benchmark examples. [ABSTRACT FROM AUTHOR]