Self-adjusting the tolerance level in a fully sequential feasibility check procedure

We consider the problem of determining the feasibility of systems when the performance measures in stochastic constraints need to be evaluated via simulation. We develop a new procedure, namely the adaptive feasibility check procedure. Specifically, the procedure uses an existing feasibility check procedure iteratively as its subroutine with a decreasing sequence of tolerance levels. Our procedure is designed to return the set of strictly feasible systems with at least a prespecified probability. The validity and efficiency of the procedure are investigated through both analytical and experimental results. The procedure is also tested using numerical examples.