Simulation optimization: a new approach

Leyuan Shi

doi:10.1117/12.319340

24 August 1998 Simulation optimization: a new approach

Leyuan Shi

Proceedings Volume 3369, Enabling Technology for Simulation Science II; (1998) https://doi.org/10.1117/12.319340
Event: Aerospace/Defense Sensing and Controls, 1998, Orlando, FL, United States

Abstract

We present a method for efficiently solving stochastic optimization problems of discrete event systems. The new method, the nested partitions (NP) method, uses partitioning, random sampling, selection of a promising index, and backtracking techniques to crete a Markov chain which has been proven with probability one to converge to a global optimum. One important feature of the NP method is that it can combine global search and local search procedures in a natural way. In particular, many sample path analysis techniques such as perturbation analysis and concurrent simulation can be effectively incorporated into the method. The NP method is demonstrated through a numerical example.

Citation Download Citation

Leyuan Shi "Simulation optimization: a new approach", Proc. SPIE 3369, Enabling Technology for Simulation Science II, (24 August 1998); https://doi.org/10.1117/12.319340

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