Why methods for optimization problems with time-consuming function evaluations and integer variables should use global approximation models

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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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Driessen, Lonneke
Brekelmans, Ruud
Gerichhausen, Marloes
..., (Tilburg University, Center for Economic Research)

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Ruud Brekelmans

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

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

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Find related papers by JEL classification:
C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis

This paper has been announced in the following NEP Reports:

NEP-ALL-2006-02-19 (All new papers)

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Brekelmans, Ruud & Driessen, Lonneke & Hamers, Herbert & den Hertog, Dick, 2005. "Constrained optimization involving expensive function evaluations: A sequential approach," European Journal of Operational Research, Elsevier, vol. 160(1), pages 121-138, January. [Downloadable!] (restricted)
Other versions:
- Brekelmans, R. & Driessen, L. & Hamers, H. & Hertog, D. den, 2001. "Constrained optimization involving expensive function evaluations : a sequential approach," Discussion Paper 87, Tilburg University, Center for Economic Research. [Downloadable!]

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Cited by:
(explanations, 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.)

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. [Downloadable!]

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