Selection-of-the-best procedures for optimization via simulation

Juta Pichitlamken, Barry L. Nelson

Research output: Contribution to journalArticle

14 Scopus citations

Abstract

We propose fully sequential indifference-zone selection procedures that are 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 and their previous samples are retained. For the case when only summary information is retained, we derive a modified procedure. We illustrate how our procedure can be applied to optimization-via-simulation problems and compare its performance with other methods by numerical examples.

Original languageEnglish (US)
Article number521
Pages (from-to)401-407
Number of pages7
JournalWinter Simulation Conference Proceedings
Volume1
DOIs
StatePublished - Jan 1 2001

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Safety, Risk, Reliability and Quality
  • Chemical Health and Safety
  • Applied Mathematics

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