Back to Search
Start Over
Efficient Sampling Policy for Selecting a Subset With the Best
- Source :
- IEEE Transactions on Automatic Control; August 2023, Vol. 68 Issue: 8 p4904-4911, 8p
- Publication Year :
- 2023
-
Abstract
- In this article, we study the problem of selecting a subset with the best of a finite number of alternatives under a fixed simulation budget. Our work aims to maximize the posterior probability of correctly selecting such a subset. We formulate the dynamic sampling decision as a stochastic control problem in a Bayesian setting. In an approximate dynamic programming paradigm, we propose a sequential sampling policy based on value function approximation. We analyze the asymptotic property of the proposed sampling policy. Numerical experiments demonstrate the efficiency of the proposed procedure.
Details
- Language :
- English
- ISSN :
- 00189286 and 15582523
- Volume :
- 68
- Issue :
- 8
- Database :
- Supplemental Index
- Journal :
- IEEE Transactions on Automatic Control
- Publication Type :
- Periodical
- Accession number :
- ejs63679146
- Full Text :
- https://doi.org/10.1109/TAC.2022.3207871