Sample-Optimal Large-Scale Optimal Subset Selection

Ranking and selection (R&S) conventionally aims to select the unique best alternative with the largest mean performance from a finite set of alternatives. However, for better supporting decision making, it may be more informative to deliver a small menu of alternatives whose mean performances are among the top m. Such problem, called optimal subset selection (OSS), is generally more challenging to address than the conventional R&S. This challenge becomes even more significant when the number of alternatives is considerably large. Thus, the focus of this paper is on addressing the large-scale OSS problem. To achieve this goal, we design a top-m greedy selection mechanism that keeps sampling the current top m alternatives with top m running sample means and propose the explore-first top-m greedy (EFG-m) procedure. Through an extended boundary-crossing framework, we prove that the EFG-m procedure is both sample optimal and consistent in terms of the probability of good selection, confirming its effectiveness in solving large-scale OSS problem. Surprisingly, we also demonstrate that the EFG-m procedure enables to achieve an indifference-based ranking within the selected subset of alternatives at no extra cost. This is highly beneficial as it delivers deeper insights to decision-makers, enabling more informed decision-makings. Lastly, numerical experiments validate our results and demonstrate the efficiency of our procedures.