Selecting the Best Alternative Based on Its Quantile

Demet Batur; F. Fred Choobineh

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Selecting the Best Alternative Based on Its Quantile

机译：根据其达斯链选择最佳替代品

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摘要

A value-at-risk, or quantile, is widely used as an appropriate investment selection measure for risk-conscious decision makers. We present two quantile-based sequential procedures-with and without consideration of equivalency between alternatives-for selecting the best alternative from a set of simulated alternatives. These procedures asymptotically guarantee a user-defined target probability of correct selection within a prespecified indifference zone. Experimental results demonstrate the trade-off between the indifference-zone size and the number of simulation iterations needed to render a correct selection while satisfying a desired probability of correct selection.

机译：有价值的风险或分位式被广泛用作风险有意识式决策者的适当投资选择措施。我们呈现了两种基于分位数的顺序过程 - 在不考虑替代方案之间的等效过程 - 用于从一组模拟替代方案中选择最佳替代方案。这些程序渐近地保证了预定的漠不关心区域内的正确选择的用户定义了目标概率。实验结果证明了漠不关心区尺寸和仿真迭代的数量之间的权衡，以呈现正确的选择，同时满足正确选择的所需概率。

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来源
《INFORMS journal on computing》 |2021年第2期|657-671|共15页
作者
Demet Batur; F. Fred Choobineh;
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作者单位

College of Business Administration University of Nebraska-Lincoln Lincoln Nebraska 68588;

Electrical and Computer Engineering University of Nebraska-Lincoln Lincoln Nebraska 68588;

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原文格式 PDF
正文语种 eng
中图分类
关键词
risk; quantile; selection procedure; simulation;

机译：风险;stantile;选择程序;模拟;

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Selecting the Best Alternative Based on Its Quantile

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