Selection procedures with frequentist expected opportunity cost bounds
成果类型：
Article
署名作者：
Chick, SE; Wu, YZ
署名单位：
INSEAD Business School
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.1040.0187
发表日期：
2005
页码：
867-878
关键词：
摘要：
Selection procedures help identify the best of a finite set of simulated alternatives. Most work has measured the quality of a selection with the probability of correct selection, P(CS), but the expected opportunity cost of a potentially incorrect decision makes more sense in business contexts. This paper analyzes the first selection procedures that guarantee an upper bound for the expected opportunity cost, in a frequentist sense, of a potentially incorrect selection. The paper therefore bridges a gap between the indifference-zone approach (with frequentist guarantees, but for the P(CS)) and the Bayesian approach to selection procedures (which has considered the opportunity cost). We also provide unexpected expected opportunity cost guarantees for several existing indifference-zone selection procedures that were originally designed to provide P(CS) guarantees.