Advanced Search
MyIDEAS: Login

Constrained optimization in expensive simulation: Novel approach

Contents:

Author Info

  • Kleijnen, Jack P.C.
  • Beers, Wim van
  • Nieuwenhuyse, Inneke van

Abstract

This article presents a novel heuristic for constrained optimization of computationally expensive random simulation models. One output is selected as objective to be minimized, while other outputs must satisfy given threshold values. Moreover, the simulation inputs must be integer and satisfy linear or nonlinear constraints. The heuristic combines (i) sequentialized experimental designs to specify the simulation input combinations, (ii) Kriging (or Gaussian process or spatial correlation modeling) to analyze the global simulation input/output data resulting from these designs, and (iii) integer nonlinear programming to estimate the optimal solution from the Kriging metamodels. The heuristic is applied to an (s,S) inventory system and a call-center simulation, and compared with the popular commercial heuristic OptQuest embedded in the Arena versions 11 and 12. In these two applications the novel heuristic outperforms OptQuest in terms of number of simulated input combinations and quality of the estimated optimum.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6VCT-4W99VYB-1/2/ef9b34caa3dab3bb954ed7ad6c178f2a
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 202 (2010)
Issue (Month): 1 (April)
Pages: 164-174

as in new window
Handle: RePEc:eee:ejores:v:202:y:2010:i:1:p:164-174

Contact details of provider:
Web page: http://www.elsevier.com/locate/eor

Related research

Keywords: Simulation Global optimization Heuristics Kriging Bootstrap;

Other versions of this item:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Kleijnen, Jack P.C. & Deflandre, David, 2006. "Validation of regression metamodels in simulation: Bootstrap approach," European Journal of Operational Research, Elsevier, vol. 170(1), pages 120-131, April.
  2. Driessen, L. & Brekelmans, R.C.M. & Gerichhausen, M. & Hamers, H.J.M. & Hertog, D. den, 2006. "Why Methods for Optimization Problems with Time-Consuming Function Evaluations and Integer Variables Should Use Global Approximation Models," Discussion Paper 2006-4, Tilburg University, Center for Economic Research.
  3. Kleijnen, J.P.C. & Beers, W.C.M. van, 2003. "Application-driven Sequential Designs for Simulation Experiments: Kriging Metamodeling," Discussion Paper 2003-33, Tilburg University, Center for Economic Research.
  4. Kleijnen, J.P.C., 2007. "Kriging Metamodeling in Simulation: A Review," Discussion Paper 2007-13, Tilburg University, Center for Economic Research.
  5. Driessen, L. & Brekelmans, R.C.M. & Hamers, H.J.M. & Hertog, D. den, 2001. "On D-Optimality Based Trust Regions for Black-Box Optimization Problems," Discussion Paper 2001-69, Tilburg University, Center for Economic Research.
  6. Angun, M.E. & Gürkan, G. & Hertog, D. den & Kleijnen, J.P.C., 2002. "Response surface methodology revisited," Open Access publications from Tilburg University urn:nbn:nl:ui:12-91399, Tilburg University.
  7. Kleijnen, J.P.C., 2008. "Review of the book [Design and Analysis of Simulation Experiments]," Open Access publications from Tilburg University urn:nbn:nl:ui:12-4379049, Tilburg University.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Jack Kleijnen & Wim Beers & Inneke Nieuwenhuyse, 2012. "Expected improvement in efficient global optimization through bootstrapped kriging," Journal of Global Optimization, Springer, vol. 54(1), pages 59-73, September.
  2. Kabirian, Alireza & Ólafsson, Sigurdur, 2011. "Continuous optimization via simulation using Golden Region search," European Journal of Operational Research, Elsevier, vol. 208(1), pages 19-27, January.
  3. Arreola-Risa, Antonio & Giménez-García, Víctor M. & Martínez-Parra, José Luis, 2011. "Optimizing stochastic production-inventory systems: A heuristic based on simulation and regression analysis," European Journal of Operational Research, Elsevier, vol. 213(1), pages 107-118, August.
  4. Kleijnen, Jack P.C. & Mehdad, E., 2012. "Kriging in Multi-response Simulation, including a Monte Carlo Laboratory," Discussion Paper 2012-039, Tilburg University, Center for Economic Research.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:202:y:2010:i:1:p:164-174

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.