Optimization via simulation: a combined procedure for optimization via simulation

ABSTRACT

We propose an optimization-via-simulation algorithm for use when the performance measure is estimated via a stochastic, discrete-event simulation, and the decision variables may be subject to deterministic linear integer constraints. Our approach-which consists of a global guidance system, a selection-of-the-best procedure, and local improvement-is globally convergent under very mild conditions.

REFERENCES

• 1: Mahmoud H. Alrefaei , Sigrún Andradóttir, A Simulated Annealing Algorithm with Constant Temperature for Discrete Stochastic Optimization, Management Science, v.45 n.5, p.748-764, May 1999 [doi>10.1287/mnsc.45.5.748]
• 2: Sigrún Andradóttir, A method for discrete stochastic optimization, Management Science, v.41 n.12, p.1946-1961, Dec. 1995 [doi>10.1287/mnsc.41.12.1946]
• 3: Andradóttir, S. 1996. A global search method for discrete stochastic optimization. SIAM Journal on Optimization 6:513--530.
• 4: Andradóttir, S. 1998. Simulation Optimization. Handbook of Simulation, ed. J. Banks, Chapter 9. New York: Wiley-Interscience.
• 5: Sigrún Andradóttir, Accelerating the convergence of random search methods for discrete stochastic optimization, ACM Transactions on Modeling and Computer Simulation (TOMACS), v.9 n.4, p.349-380, Oct. 1999 [doi>10.1145/352222.352225]
• 6: Justin Boesel , Barry L. Nelson, Search and selection for large-scale stochastic optimization, 1999
• 7: Boesel, J., B. L. Nelson, and N. Ishii. 2002. A framework for simulation-optimization software. IIE Transactions In press.
• 8: Buzacott, J. A., and J. G. Shantikumar. 1993. Stochastic Models of Manufacturing Systems. Englewood Cliffs, New Jersey: Prentice-Hall.
• 9: Gelfand, S. B., and S. K. Mitter. 1989. Simulated annealing with noisy or imprecise energy measurements. Journal of Optimization Theory and Application 62:49--62.
• 10: Gutjahr, W. J., and G. Ch. Pflug. 1996. Simulated annealing for noisy cost functions. Journal of Global Optimization 8:1--13.
• 11: Pichitlamken, J. 2002. A combined procedure for optimization via simulation. Doctoral dissertation, Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, Illinois.
• 12: Juta Pichitlamken , Barry L. Nelson, Comparing systems via stochastic simulation: selection-of-the-best procedures for optimization via simulation, Proceedings of the 33nd conference on Winter simulation, December 09-12, 2001, Arlington, Virginia
• 13: Shi, L., and S. Ólafsson. 2000. Nested partitions method for stochastic optimization. Methodology and Computing in Applied Probability 2:271--291.
• 14: Smith R. L. 1984. Efficient Monte Carlo procedures for generating points uniformly distributed over bounded regions. Operations Research 32:1296--1308.
• 15: Di Yan , H. Mukai, Stochastic discrete optimization, SIAM Journal on Control and Optimization, v.30 n.3, p.594-612, June 1992 [doi>10.1137/0330034]