Bonferroni-Free and Indifference-Zone-Flexible Sequential Elimination Procedures for Ranking and Selection

• 成果类型: Article
• 署名作者: Wang, Wenyu; Wan, Hong; Chen, Xi
• 署名单位: North Carolina State University; Virginia Polytechnic Institute & State University
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2023.2447
• 发表日期: 2024
• 关键词: probability; tests

摘要

This paper proposes two fully sequential procedures for selecting the best system with a guaranteed probability of correct selection (PCS). The main features of the proposed procedures include the following: (1) adopting a Bonferroni-free model that overcomes the conservativeness of the Bonferroni correction and delivers the exact probabilistic guarantee without overshooting; (2) conducting always valid and fully sequential hypothesis tests that enable continuous monitoring of each candidate system and control the type I error rate (or equivalently, PCS) at a prescribed level; and (3) assuming an indifference-zone-flexible formulation, which means that the indifference-zone parameter is not indispensable but could be helpful if provided. We establish statistical validity and asymptotic efficiency for the proposed procedures under normality settings with and without the knowledge of true variances. Numerical studies conducted under various configurations corroborate the theoretical findings and demonstrate the superiority of the proposed procedures.