A Robust Winner That Is Jointly Admissible
Abstract
Robust ranking and multiple-performance feasibility should be evaluated on a common set of input scenarios and joint outputs. The test identifies the requirement limiting acceptance and independently checks final designs. A strong robust objective score does not establish every constraint, while separate marginal intervals cannot silently become a joint guarantee for adoption. This focused synthesis develops an empirical comparison that preserves the terminal action, observation process, and total verification cost. Its proposed tests are prospective; no new simulation run, model-training result, or intervention effect is reported.
References
S. Gao, H. Xiao, E. Zhou, and W. Chen, “Robust Ranking and Selection with Optimal Computing Budget Allocation,” Automatica, vol. 81, pp. 30–36, 2017.
S. Gao and W. Chen, “Efficient Feasibility Determination with Multiple Performance Measure Constraints,” IEEE Transactions on Automatic Control, vol. 62, no. 1, pp. 113–122, 2017.
Chick, Stephen E., and Koichiro Inoue. “New Two-Stage and Sequential Procedures for Selecting the Best Simulated System.” Operations Research, vol. 49, no. 5, 2001, pp. 732–743. https://doi.org/10.1287/opre.49.5.732.10615.
Frazier, Peter I., Warren B. Powell, and Savas Dayanik. “A Knowledge-Gradient Policy for Sequential Information Collection.” SIAM Journal on Control and Optimization, vol. 47, no. 5, 2008, pp. 2410–2439. https://doi.org/10.1137/070693424.
Rasmussen, Carl Edward, and Christopher K. I. Williams. Gaussian Processes for Machine Learning. MIT Press, 2006. https://gaussianprocess.org/gpml/.
Sacks, Jerome, William J. Welch, Toby J. Mitchell, and Henry P. Wynn. “Design and Analysis of Computer Experiments.” Statistical Science, vol. 4, no. 4, 1989, pp. 409–423. https://doi.org/10.1214/ss/1177012413.
Bertsimas, Dimitris, and Melvyn Sim. “The Price of Robustness.” Operations Research, vol. 52, no. 1, 2004, pp. 35–53. https://doi.org/10.1287/opre.1030.0065.
Campi, Marco C., and Simone Garatti. “The Exact Feasibility of Randomized Solutions of Uncertain Convex Programs.” SIAM Journal on Optimization, vol. 19, no. 3, 2008, pp. 1211–1230. https://doi.org/10.1137/07069821X.
Glasserman, Paul. Monte Carlo Methods in Financial Engineering. Springer, 2004. https://doi.org/10.1007/978-0-387-21617-1.
Ankenman, Bruce, Barry L. Nelson, and Jeremy Staum. “Stochastic Kriging for Simulation Metamodeling.” Operations Research, vol. 58, no. 2, 2010, pp. 371–382. https://doi.org/10.1287/opre.1090.0754.