Why Methods for Optimization Problems with Time-Consuming Function Evaluations and Integer Variables Should Use Global Approximation Models
AbstractThis 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 InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2006-4.
Date of creation: 2006
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approximation models; black-box optimization; integer optimization;
Find related papers by JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-02-19 (All new papers)
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.:
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"Constrained Optimization Involving Expensive Function Evaluations: A Sequential Approach,"
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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.
- Kleijnen, Jack P.C. & Beers, W.C.M. van & Nieuwenhuyse, I. van, 2010.
"Constrained optimization in simulation: A novel approach,"
Open Access publications from Tilburg University
urn:nbn:nl:ui:12-3583585, Tilburg University.
- 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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