Fully sequential procedures for comparing constrained systems via simulation

We consider the problem of finding the system with the best primary performance measure among a finite number of simulated systems in the presence of a stochastic constraint on a single real‐valued secondary performance measure. Solving this problem requires the identification and removal from consideration of infeasible systems (Phase I) and of systems whose primary performance measure is dominated by that of other feasible systems (Phase II). We use indifference zones in both phases and consider two approaches, namely, carrying out Phases I and II sequentially and carrying out Phases I and II simultaneously, and we provide specific example procedures of each type. We present theoretical results guaranteeing that our approaches (general and specific, sequential and simultaneous) yield the best system with at least a prespecified probability, and we provide a portion of an extensive numerical study aimed at evaluating and comparing the performance of our approaches. The experimental results show that both new procedures are useful for constrained ranking and selection, with neither procedure showing uniform superiority over the other.© 2010 Wiley Periodicals, Inc. Naval Research Logistics, 2010