信息公告

信息公告
学院通知
2019年1月9日学术报告会通知
发布日期:2019-01-08

Title: Ranking and Selection with Covariates for Personalized Decision Making

时间:2019年1月9日下午13:30

地点:南洋公学中院317(董浩云楼)

主持人:赵来军教授

Abstract: We consider a problem of ranking and selection via simulation in the context of personalized decision making, where the best alternative is not universal but varies as a function of some observable covariates. The goal of ranking and selection with covariates (R&S-C) is to use simulation samples to obtain a selection policy that specifies the best alternative with certain statistical guarantee for subsequent individuals upon observing their covariates. A linear model is proposed to capture the relationship between the mean performance of an alternative and the covariates. Under the indifference-zone formulation, we develop two-stage procedures for both homoscedastic and heteroscedastic simulation errors, respectively, and prove their statistical validity in terms of average probability of correct selection. We also generalize the well-known slippage configuration, and prove that the generalized slippage configuration is the least favorable configuration for our procedures. Extensive numerical experiments are conducted to investigate the performance of the proposed procedures, the experimental design issue, and the robustness to the linearity assumption. Finally, we demonstrate the usefulness of R&S-C via a case study of selecting the best treatment regimen in the prevention of esophageal cancer. We find that by leveraging disease-related personal information, R&S-C can substantially improve patients' expected quality-adjusted life years by providing patient-specific treatment regimen.

报告人简介:沈海辉,香港城市大学管理科学系博士毕业,香港城市大学管理科学系访问学者,主要从事仿真建模、优化及其应用。

Copyright © 2018 上海交大中美物流研究院 版权所有
分享到

研究院官网

传真:021-62932117 
电话:021-62932115 62932399 
E-mail:djhuang@sjtu.edu.cn

MEM招生公众号