Top-M Factor Screening for Stochastic Simulation: Multi-Armed Bandit and Sequential Bifurcation Combined

We propose a novel screening framework (abbreviated to TopmSB) to identify the top m key factors affecting the system performance. The new framework extends the standard SB’s screening mechanism while in each stage marrying with an adaptive multi-armed bandit (MAB) procedure in order of the largest group. Compared to SB, TopmSB avoids specifying perplexing (un)importance threshold parameters, while providing desired computational efficiency and statistical precision guarantee. Numerical experiments demonstrate the efficiency and effectiveness of the proposed method.