Non-monotonicity of probability of correct selection

In Peng et al. (2015b), we show that the probability of correct selection (PCS), a commonly used metric, is not necessarily monotonically increasing with respect to the number of simulation replications. A simple counterexample where the PCS may decrease with additional sampling is provided to motiv...

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Bibliographic Details
Main Authors: Yijie Peng, Chun-Hung Chen, Fu, Michael C., Jian-Qiang Hu
Format: Conference Proceeding
Language:English
Subjects:
Bayes methods
Coefficient of variation
Conferences
Correlation
Gaussian distribution
Nickel
Reactive power
Replication
Resource management
Sampling
Simulation
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Summary:In Peng et al. (2015b), we show that the probability of correct selection (PCS), a commonly used metric, is not necessarily monotonically increasing with respect to the number of simulation replications. A simple counterexample where the PCS may decrease with additional sampling is provided to motivate the problem. The reference identifies the induced correlations as the source of the non-monotonicity, and characterizes the general scenario under which the phenomenon occurs by a condition where coefficient of variations of the difference in sample means are large. Numerical examples further illustrate the non-monotonic behavior of the PCS for some well-known sampling schemes.
ISSN:1558-4305
DOI:10.1109/WSC.2015.7408526