Selection-of-the-best procedures for optimization via simulation

Author

Pichitlamken, Juta ; Nelson, Barry L.

Author_Institution

Dept. of Ind. Eng. & Manage. Sci., Northwestern Univ., Evanston, IL, USA

Volume

1

fYear

2001

fDate

2001

Firstpage

401

Abstract

We propose fully sequential indifference-zone selection procedures that are specifically for use within an optimization-via-simulation algorithm when simulation is costly and partial or complete information on solutions previously visited is maintained. Sequential Selection with Memory guarantees to select the best or near-best alternative with a user-specified probability when some solutions have already been sampled and their previous samples are retained. For the case when only summary information is retained, we derive a modified procedure. We illustrate how our procedure can be applied to optimization-via-simulation problems and compare its performance with other methods by numerical examples

Keywords

optimisation; probability; simulation; fully sequential indifference-zone selection procedures; optimization-via-simulation algorithm; sequential selection with memory; user-specified probability; Closed-form solution; Computational modeling; Engineering management; Industrial engineering; Linear programming; Optimization methods; Problem-solving; Response surface methodology; Simulated annealing; Uncertainty;

fLanguage

English

Publisher

ieee

Conference_Titel

Simulation Conference, 2001. Proceedings of the Winter

Conference_Location

Arlington, VA

Print_ISBN

0-7803-7307-3

Type

conf

DOI

10.1109/WSC.2001.977310

Filename

977310