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Why Methods for Optimization Problems with Time-Consuming Function Evaluations and Integer Variables Should Use Global Approximation Models

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Author Info

  • Driessen, L.
  • Brekelmans, R.C.M.
  • Gerichhausen, M.
  • Hamers, H.J.M.
  • Hertog, D. den

    (Tilburg University, Center for Economic Research)

Abstract

This paper advocates the use of methods based on global approximation models for optimization problems with time-consuming function evaluations and integer variables.We show that methods based on local approximations may lead to the integer rounding of the optimal solution of the continuous problem, and even to worse solutions.Then we discuss a method based on global approximations.Test results show that such a method performs well, both for theoretical and practical examples, without suffering the disadvantages of methods based on local approximations.

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Bibliographic Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2006-4.

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Date of creation: 2006
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Handle: RePEc:dgr:kubcen:20064

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Web page: http://center.uvt.nl

Related research

Keywords: approximation models; black-box optimization; integer optimization;

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  1. Brekelmans, R.C.M. & Driessen, L. & Hamers, H.J.M. & Hertog, D. den, 2001. "Constrained Optimization Involving Expensive Function Evaluations: A Sequential Approach," Discussion Paper 2001-87, Tilburg University, Center for Economic Research.
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Cited by:
  1. Kleijnen, J.P.C. & Beers, W.C.M. van & Nieuwenhuyse, I. van, 2008. "Constrained Optimization in Simulation: A Novel Approach," Discussion Paper 2008-95, Tilburg University, Center for Economic Research.

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