A sequential procedure for neighborhood selection-of-the-best in optimization via simulation

Juta Pichitlamken*, Barry L. Nelson, L. Jeff Hong

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

36 Scopus citations

Abstract

We propose a fully sequential indifference-zone selection procedure that is specifically for use within an optimization-via-simulation algorithm when simulation is costly, and partial or complete information on solutions previously visited is maintained. Sequential Selection with Memory guarantees to select the best or near-best alternative with a user-specified probability when some solutions have already been sampled, their previous samples are retained, and simulation outputs are i.i.d. normal. For the case when only summary information on solutions is retained, we derive a modified procedure. We illustrate how our procedures can be applied to optimization-via-simulation problems and compare its performance with other methods by numerical examples.

Original languageEnglish (US)
Pages (from-to)283-298
Number of pages16
JournalEuropean Journal of Operational Research
Volume173
Issue number1
DOIs
StatePublished - Aug 16 2006

Keywords

  • Multivariate statistics
  • Optimization via simulation
  • Ranking and selection
  • Simulation

ASJC Scopus subject areas

  • Computer Science(all)
  • Modeling and Simulation
  • Management Science and Operations Research
  • Information Systems and Management

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