Fully sequential indifference-zone selection procedures with variance-dependent sampling

Fully sequential indifference-zone selection procedures have been proposed in the simulation literature to select the system with the best mean performance from a group of simulated systems. However, the existing sequential indifference-zone procedures allocate an equal number of samples to the two systems in comparison even if their variances are drastically different. In this paper we propose new fully sequential indifference-zone procedures that allocate samples according to the variances. We show that the procedures work better than several existing sequential indifference-zone procedures when variances of the systems are different. (C) 2006 Wiley Periodicals, Inc.