New developments in ranking and selection: An empirical comparison of the three main approaches

Selection procedures are used in many applications to select the best of a finite set of alternatives, as in discrete optimiza-tion with simulation. There are a wide variety of procedures, which begs the question of which selection procedure to select. This paper (a) summarizes the main structural ap-proaches to deriving selection procedures, (b) describes an innovative empirical testbed, and (c) summarizes results from work in progress that provides the most exhaustive as-sessment of selection procedures to date. The most efficient and easiest to control procedures allocate samples with a Bayesian model for uncertainty about the means, and use a new expected opportunity cost-based stopping rule.