A quantile-based approach to system selection

We propose a quantile-based ranking and selection (R&S) procedure for comparing a finite set of stochastic systems via simulation. Our R&S procedure uses a quantile set of the simulated probability distribution of a performance characteristic of interest that best represents the most appropriate selection criterion as the basis for comparison. Since this quantile set may represent either the downside risk, upside risk, or central tendency of the performance characteristic, the proposed approach is more flexible than the traditional mean-based approach to R&S. We first present a procedure that selects the best system from among K systems, and then we modified that procedure for the case where K − 1 systems are compared against a standard system. We present a set of experiments to highlight the flexibility of the proposed procedures.