Discrete Optimization via Simulation Using COMPASS

We propose an optimization-via-simulation algorithm, called COMPASS, for use when the performance measure is estimated via a stochastic, discrete-event simulation, and the decision variables are integer ordered. We prove that COMPASS converges to the set of local optimal solutions with probability 1...

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Veröffentlicht in:	Operations research 2006-01, Vol.54 (1), p.115-129
Hauptverfasser:	Hong, L. Jeff, Nelson, Barry L
Format:	Artikel
Sprache:	eng
Schlagworte:	adaptive random search Algorithms Analysis Applied sciences Compasses Coordinate systems Design of experiments Exact sciences and technology Flows in networks. Combinatorial problems Integers Iterative solutions Markov chains Mathematical optimization Objective functions Observational research Operational research and scientific management Operational research. Management science Operations research Optimal solutions Optimization optimization via simulation programming Sample mean Simulated annealing Simulation stochastic Stochastic models Stochastic processes Studies
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Zusammenfassung:	We propose an optimization-via-simulation algorithm, called COMPASS, for use when the performance measure is estimated via a stochastic, discrete-event simulation, and the decision variables are integer ordered. We prove that COMPASS converges to the set of local optimal solutions with probability 1 for both terminating and steady-state simulation, and for both fully constrained problems and partially constrained or unconstrained problems under mild conditions.
ISSN:	0030-364X 1526-5463
DOI:	10.1287/opre.1050.0237