A stochastic quasi-Newton method for simulation response optimization

European Journal of Operational Research

Volumn 173, Issue 1, 2006, Pages 30-46

  Kao, Chiang ^a   Chen, Shih Pin ^b  

^a NATIONAL CHENG KUNG UNIVERSITY   (Taiwan)

^b NATIONAL CHUNG CHENG UNIVERSITY   (Taiwan)

Author keywords

Nonlinear programming; Simulation; Stochastic optimization

Indexed keywords

NONLINEAR PROGRAMMING; PROBLEM SOLVING; RANDOM PROCESSES; STATISTICAL METHODS;

INVENTORY PROBLEM; STATISTICAL SENSE; STOCHASTIC OPTIMIZATION;

OPTIMIZATION;

EID: 33646120566     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2004.12.011     Document Type: Article

References (40)

1. Andradottir S. A stochastic approximation algorithm with varying bounds. Operations Research 43 (1995) 1037-1048
2. Andradottir S. A scaled stochastic approximation algorithm. Management Science 42 (1996) 475-498
3. Azadivar, F., 1992. A tutorial on simulation optimization. In: Proceedings of the 1992 Winter Simulation Conference, pp. 198-204.
4. Barton R.R., and Ivey Jr. J.S. Nelder-Mead simplex modifications for simulation optimization. Management Science 42 (1996) 954-973
5. Bazaraa M.S., Sherali H.D., and Shetty C.M. Nonlinear Programming: Theory and Algorithms. second ed. (1993), Wiley, New York
6. Byrd R.H., and Nocedal J. A tool for the analysis of quasi-Newton methods with application to unconstrained minimization. SIAM Journal of Numerical Analysis 26 (1989) 727-739
7. 1 convex constrained optimization. SIAM Journal of Control and Optimization 34 (1996) 2051-2063
8. Ermoliev Y. Stochastic quasigradient methods and their application to system optimization. Stochastics 9 (1983) 1-36
9. Fletcher R. Practical Methods of Optimization. second ed. (1987), Wiley, Chichester
10. Fu M.C. Optimization via simulation: A review. Annals of Operations Research 53 (1994) 199-247
11. Fu M.C., and Healy K.J. Techniques for optimization via simulation: An experimental study on an (s, S) inventory system. IIE Transactions 29 (1997) 191-199
12. Fu M.C., Hu J.-Q., and Nagi R. Comparison of gradient estimation techniques for queues with non-identical servers. Computers and Operations Research 22 (1995) 715-729
13. Gill P.E., Murray W., and Wright M.H. Practical Optimization (1981), Academic Press, New York
14. Glynn, P.W., 1986. Optimization of stochastic systems. In: Proceedings of the 1986 Winter Simulation Conference, pp. 52-59.
15. Gurkan G. Simulation optimization of buffer allocation in production lines with unreliable machines. Annals of Operations Research 93 (2000) 177-216
16. Hadley G., and Whitin T. Analysis of Inventory Systems (1963), Prentice-Hill, Englewood Cliffs, NJ
17. Himmelblau D.M. Applied Nonlinear Programming (1972), McGraw-Hill, New York
18. Jacobson S.H., and Schruben L.W. Techniques for simulation response optimization. Operations Research Letters 8 (1989) 1-9
19. Kao C., Song W.M., and Chen S.P. A modified quasi-Newton method for optimization in simulation. International Transactions in Operational Research 4 (1997) 223-233
20. Law A.M., and Carson J.S. A sequential procedure for determining the length of a steady-state simulation. Operations Research 27 (1979) 1011-1025
21. Law A.M., and Kelton E.D. Simulation Modeling and Analysis. third ed. (2000), McGraw-Hill, New York
22. L'Ecuyer P., Giroux N., and Glynn P.W. Stochastic optimization by simulation: Numerical experiments with the M/M/1 queue in steady-state. Management Science 40 (1994) 1245-1261
23. L'Ecuyer P., and Glynn P.W. Stochastic optimization by simulation: Convergence proofs for the GI/G/1 queue in steady state. Management Science 40 (1994) 1526-1578
24. L'Ecuyer P., and Perron G. On the convergence rate of IPA and FDC derivative estimators. Operations Research 42 (1994) 643-656
25. L'Ecuyer P., and Yin G. Budget-dependent convergence rate for stochastic approximation. SIAM Journal on Optimization 8 (1998) 217-247
26. Luenberger D.G. Linear and Nonlinear Programming. second ed. (1984), Addison-Wesley, New York
27. Meketon, M.S., 1987. Optimization in simulation: A survey of recent results. In: Proceedings of the 1987 Winter Simulation Conference, pp. 58-67.
28. Montgomery D.C. Design and Analysis of Experiments. second ed. (1991), Wiley, New York
29. Plambeck E.L., Fu B.R., Robinson S.M., and Suri R. Sample-path optimization of convex stochastic performance functions. Mathematical Programming 75 (1996) 137-176
30. Poljak B.T. Nonlinear programming methods in the presence of noise. Mathematical Programming 14 (1978) 87-97
31. Powell M.J.D. Some global convergence properties of a variable metric algorithm for minimization without exact line searches. In: Cottle R.W., and Lemke C.E. (Eds). Nonlinear Programming. SIAM-AMS proceedings vol. IX (1976), American Mathematical Society, New York 53-72
32. Reklaitis G.V., Ravindran A., and Ragsdell K.M. Engineering Optimization: Methods and Applications (1983), John Wiley and Sons, New York
33. Ringuest J.L. Substitute derivatives in unconstrained optimization: A comparison of finite difference and response surface approximation. Computers and Operations Research 15 (1988) 314-352
34. Robbins H., and Siegmund D. A convergence theorem for nonnegative almost supermartingales and some applications. In: Rustagi J.S. (Ed). Optimizing Methods of Statistics (1971), Academic Press, New York 233-257
35. Robinson S.M. Analysis of sample-path optimization. Mathematics of Operations Research 21 (1996) 513-528
36. Ross S.M. Introduction to Probability Models. eighth ed. (2003), Academic Press, New York
37. Safizadeh M.H. Optimization in simulation: Current issues and the future outlook. Naval Research Logistics 37 (1990) 807-825
38. Safizadeh M.H., and Signorile R. Optimization of simulation via quasi-Newton methods. ORSA Journal on Computing 6 (1994) 398-408
39. Spall J.C. Introduction to Stochastic Search and Optimization: Estimation, Simulation, and Control (2003), John Wiley & Sons, New York
40. Suri R., and Leung Y.T. Single run optimization of discrete event simulations-an empirical study using the M/M/1 queue. IIE Transactions 21 (1989) 35-49