Recent operations management papers model customers as solving multiarmed bandit problems, positing that consumers use a particular heuristic when choosing among suppliers. These papers then analyze the resulting competition among suppliers and mathematically characterize the equilibrium...

Although simulation is widely used to select the best of several alternative system designs, and common random numbers is an important tool for reducing the computation effort of simulation experiments, there are surprisingly few tools available to help a simulation practitioner select the best...

We describe a simulation optimization method to design PSA screening policies based on expected quality adjusted life years (QALYs). Our method integrates a simulation model in a genetic algorithm which uses a probabilistic method for selection of the best policy. We present computational...

Ranking and selection (R&S) procedures have been considered an effective tool to solve simulation optimization problems with a discrete and finite decision space. Control variate (CV) is a variance reduction technique that requires no intervention in the way the simulation experiment is...

In financial risk management, coherent risk measures have been proposed as a way to avoid undesirable properties of measures such as value at risk that discourage diversification and do not account for the magnitude of the largest, and therefore most serious, losses. A coherent risk measure...