Selection procedures with frequentist expected opportunity cost bounds

Selection procedures help identify the best of a finite set of simulated alternatives. Most work has measured the quality of a selection with the probability of correct selection, P(CS), but the expected opportunity cost of a potentially incorrect decision makes more sense in business contexts. This paper analyzes the first selection procedures that guarantee an upper bound for the expected opportunity cost, in a frequentist sense, of a potentially incorrect selection. The paper therefore bridges a gap between the indifference-zone approach (with frequentist guarantees, but for the P(CS)) and the Bayesian approach to selection procedures (which has considered the opportunity cost). We also provide "unexpected" expected opportunity cost guarantees for several existing indifference-zone selection procedures that were originally designed to provide P(CS) guarantees.