A New Algorithm for Stochastic Discrete Resource AllocationOptimization

  • Authors:
  • Leyuan Shi

  • Affiliations:
  • Department of Industrial Engineering, University of Wisconsin-Madison, Madison, WI 53706

  • Venue:
  • Discrete Event Dynamic Systems
  • Year:
  • 2000

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Abstract

Stochastic discreteresource allocation problems are difficult to solve. In thispaper, we propose a new algorithm designed specifically to tacklethem. The algorithm combines with the Nested Partitions method,the Ordinal Optimization techniques, and an efficient simulationcontrol technique. The resulting hybrid algorithm retains theglobal perspective of the Nested Partitions method and the fastconvergence properties of the Ordinal Optimization. Numericalresults demonstrate that the hybrid algorithm can be effectivelyused for many large-scale stochastic discrete optimization problems.