Discrete optimization via simulation using coordinate search

Authors:
L. Jeff Hong
Affiliations:
The Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong, China
Venue:
WSC '05 Proceedings of the 37th conference on Winter simulation
Year:
2005

Citing 12
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Abstract

In this paper we propose a coordinate search algorithm to solve the optimization-via-simulation problems with integer-ordered decision variables. We show that the sequence of solutions generated by the algorithm converges to the set of local optimal solutions with probability 1 and the estimated optimal values satisfy a central limit theorem. We compare the coordinate search algorithm to the COMPASS algorithm proposed in Hong and Nelson (2004) through a set of numerical experiments. We see that the coordinate search has a better performance.