We consider the problem of identifying the system with the largest expected mean among a number of simulated systems. We provide a new fully sequential procedure whose continuation region is developed based on multivariate Brownian motion when the variances of the systems are known and equal. We provide an approximation to determine the procedure parameters and we show experimental results.
['A. B. Dieker', 'Seong-Hee Kim']
A fully sequential procedure for known and equal variances based on multivariate brownian motion