Sequential probability ratio test for multiple-objective ranking and selection

In this paper, we introduce a sequential procedure for the Multi-Objective Ranking and Selection (MORS 2) an indifference-zone-free formulation, the new procedure eliminates the necessity of indifference-zone parameter; 3) asymptotically optimality, the GSPRT achieves asymptotically the shortest expected sample size among all sequential tests; 4) general distribution, the procedure uses the empirical likelihood for generally distributed observation. A numerical evaluation demonstrates the efficiency of the new procedure.