Simulation Optimization

Description

This repository is primarily for Simulation Optimization seminar at the University of Munster. It includes extension of Knowledge Gradient policy for Sequential A/B Testing problem.

Structure

1. data/ - folder with the generated data from experiments
2. SetUp.R - script with functions to setup an experiment
3. Utils.R - script with miscellaneous functions
4. KGPolicy.R - script with extension of KG policy for Sequential A/B Testing problem
5. RandomPolicy.R - script with random policy
6. Experiments.R - script with experiments

Experiments

All experiments can be reproduced sourcing Experiments.R script. It will take up to 2 days, otherwise data can be simply loaded from data/ folder to save time.

Alexander Anokhin, Jan 29, 2016