Sequential Sampling with Economics of Selection Procedures

  title={Sequential Sampling with Economics of Selection Procedures},
  author={Stephen E. Chick and Peter I. Frazier},
  journal={Management Science},
S sampling problems arise in stochastic simulation and many other applications. Sampling is used to infer the unknown performance of several alternatives before one alternative is selected as best. This paper presents new economically motivated fully sequential sampling procedures to solve such problems, called economics of selection procedures. The optimal procedure is derived for comparing a known standard with one alternative whose unknown reward is inferred with sampling. That result… CONTINUE READING
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