Efficient comparison of constrained systems using dormancy

We consider the problem of finding the best simulated system under a primary performance measure, while also satisfying stochastic constraints on secondary performance measures. We improve upon existing constrained selection procedures by allowing certain systems to become dormant, halting sampling for those systems as the procedure continues. A system goes dormant when it is found inferior to another system whose feasibility has not been determined, and returns to contention only if its superior system is eliminated. If found feasible, the superior system will eliminate the dormant system. By making systems dormant, we avoid collecting unnecessary observations from inferior systems. The paper also proposes other modifications, and studies the impact and benefits of our approaches (compared to similar constrained selection procedures) through experimental results and asymptotic approximations. Additionally, we discuss the difficulties associated with procedures that use sample means of unequal, random sample sizes, which commonly occurs within constrained selection and optimization-via-simulation.

► We consider the problem of finding the best system under stochastic constraints. ► We seek to improve efficiency when feasibility check is difficult. ► We present dormancy, a concept that pauses sampling for some systems. ► We show that procedures with dormancy can be valid and efficient with samples. ► Heuristic modifications can also improve efficiency.