A new myopic sequential sampling algorithm for multi-objective problems
Juergen Branke, Wen Zhang · 2015
In this paper, we consider the problem of efficiently identifying the Pareto optimal designs out of a given set of alternatives, for the case where alternatives are evaluated on multiple stochastic criteria, and the performance of an alternative can only be estimated via sampling. We propose a simple myopic budget allocation algorithm based on the idea of small-sample procedures. Initial empirical tests show encouraging results.