A Note on Optimal Subset Selection Procedures
Shanti S. Gupta, Deng-Yuan Huang · The Annals of Statistics · 1980
A result for constructing an "optimal" selection rule for selecting a subset of $k(\geqslant 2)$ populations is given. Attention is restricted to the class of rules for which the infimum of the probability of a correct selection, over a subset of the parameter space, is guaranteed to be a specified number. In this class a rule is derived which minimizes the supremum of the expected size of the selected subset.