DocumentCode :
1741048
Title :
A practical approach to sample-path simulation optimization
Author :
Ferris, Michael C. ; Munson, Todd S. ; Sinapiromsaran, Krung
Author_Institution :
Dept. of Comput. sci., Wisconsin Univ., Madison, WI, USA
Volume :
1
fYear :
2000
fDate :
2000
Firstpage :
795
Abstract :
We propose solving continuous parametric simulation optimizations using a deterministic nonlinear optimization algorithm and sample-path simulations. The optimization problem is written in a modeling language with a simulation module accessed with an external function call. Since we allow no changes to the simulation code at all, we propose using a quadratic approximation of the simulation function to obtain derivatives. Results on three different queueing models are presented that show our method to be effective on a variety of practical problems
Keywords :
digital simulation; function approximation; nonlinear programming; queueing theory; simulation languages; continuous parametric simulation optimization; deterministic nonlinear optimization algorithm; modeling language; quadratic approximation; queueing models; sample-path simulation optimization; simulation module; Analytical models; Computational modeling; Context modeling; Finite difference methods; Jacobian matrices; Optimization methods; Polynomials; Predictive models; Stochastic processes; Stochastic systems;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Simulation Conference, 2000. Proceedings. Winter
Conference_Location :
Orlando, FL
Print_ISBN :
0-7803-6579-8
Type :
conf
DOI :
10.1109/WSC.2000.899876
Filename :
899876
Link To Document :
بازگشت