A combined procedure for optimization via simulation

  • Authors:
  • Juta Pichitlamken;Barry L. Nelson

  • Affiliations:
  • Kasetsart University, Bangkok, Thailand;Northwestern University, Evanston, IL

  • Venue:
  • ACM Transactions on Modeling and Computer Simulation (TOMACS)
  • Year:
  • 2003

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Abstract

We propose an optimization-via-simulation algorithm for use when the performance measure is estimated via a stochastic, discrete-event simulation, and the decision variables may be subject to deterministic linear integer constraints. Our approach---which consists of a global guidance system, a selection-of-the-best procedure, and local improvement---is globally convergent under very mild conditions.