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.
- Programming, stochastic: Adaptive random search
- Simulation, design of experiments: Optimization via simulation
ASJC Scopus subject areas
- Computer Science Applications
- Management Science and Operations Research