Kriging metamodeling in constrained simulation optimization: an explorative study

Authors:
William E. Biles;Jack P. C. Kleijnen;Wim C. M. van Beers;Inneke van Nieuwenhuyse
Affiliations:
University of Louisville, Louisville, K.Y.;Tilburg University, The Netherlands;Tilburg University, The Netherlands;Catholic University of Leuven, Leuven, Belgium
Venue:
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Year:
2007

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Abstract

This paper describes two experiments exploring the potential of the Kriging methodology for constrained simulation optimization. Both experiments study an (s, S) inventory system with the objective of finding the optimal values of s and S. The goal function and constraints in these two experiments differ, as does the approach to determine the optimum combination predicted by the Kriging model. The results of these experiments indicate that Kriging offers opportunities for solving constrained optimization problems in stochastic simulation; future research will focus on further refining the methodology.