Stochastic discrete optimization
SIAM Journal on Control and Optimization
Retrospective approximation algorithms for stochastic root finding
WSC '94 Proceedings of the 26th conference on Winter simulation
A method for discrete stochastic optimization
Management Science
Retrospective simulation response optimization
WSC '91 Proceedings of the 23rd conference on Winter simulation
Proceedings of the 33nd conference on Winter simulation
Stochastic Comparison Algorithm for Discrete Optimization with Estimation
SIAM Journal on Optimization
Feature Article: Optimization for simulation: Theory vs. Practice
INFORMS Journal on Computing
Introduction to Stochastic Search and Optimization
Introduction to Stochastic Search and Optimization
A combined procedure for optimization via simulation
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Retrospective-approximation algorithms for the multidimensional stochastic root-finding problem
Retrospective-approximation algorithms for the multidimensional stochastic root-finding problem
Discrete optimization via simulation using coordinate search
WSC '05 Proceedings of the 37th conference on Winter simulation
A testbed of simulation-optimization problems
Proceedings of the 38th conference on Winter simulation
Adaptation of the UOBYQA algorithm for noisy functions
Proceedings of the 38th conference on Winter simulation
Note on Multimodularity and L-Convexity
Mathematics of Operations Research
Discrete Optimization via Simulation Using COMPASS
Operations Research
A framework for locally convergent random-search algorithms for discrete optimization via simulation
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Variable-Number Sample-Path Optimization
Mathematical Programming: Series A and B
Retrospective-approximation algorithms for the multidimensional stochastic root-finding problem
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Discrete stochastic optimization using linear interpolation
Proceedings of the 40th Conference on Winter Simulation
Industrial strength COMPASS: A comprehensive algorithm and software for optimization via simulation
ACM Transactions on Modeling and Computer Simulation (TOMACS)
The stochastic root-finding problem: Overview, solutions, and open questions
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Speeding up COMPASS for high-dimensional discrete optimization via simulation
Operations Research Letters
ACM Transactions on Modeling and Computer Simulation (TOMACS)
SimOpt: a library of simulation optimization problems
Proceedings of the Winter Simulation Conference
An Adaptive Hyperbox Algorithm for High-Dimensional Discrete Optimization via Simulation Problems
INFORMS Journal on Computing
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We consider simulation-optimization (SO) models where the decision variables are integer ordered and the objective function is defined implicitly via a simulation oracle, which for any feasible solution can be called to compute a point estimate of the objective-function value. We develop R-SPLINE---a Retrospective-search algorithm that alternates between a continuous Search using Piecewise-Linear Interpolation and a discrete Neighborhood Enumeration, to asymptotically identify a local minimum. R-SPLINE appears to be among the first few gradient-based search algorithms tailored for solving integer-ordered local SO problems. In addition to proving the almost-sure convergence of R-SPLINE’s iterates to the set of local minima, we demonstrate that the probability of R-SPLINE returning a solution outside the set of true local minima decays exponentially in a certain precise sense. R-SPLINE, with no parameter tuning, compares favorably with popular existing algorithms.