Simulation optimization: a review of algorithms and applications

Simulation optimization refers to the optimization of an objective function subject to constraints, both of which can be evaluated through a stochastic simulation. To address specific features of a particular simulation—discrete or continuous decisions, expensive or cheap simulations, single or mult...

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Vydané v:4OR Ročník 12; číslo 4; s. 301 - 333
Hlavní autori: Amaran, Satyajith, Sahinidis, Nikolaos V., Sharda, Bikram, Bury, Scott J.
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: Berlin/Heidelberg Springer Berlin Heidelberg 01.12.2014
Springer Nature B.V
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ISSN:1619-4500, 1614-2411
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Abstract Simulation optimization refers to the optimization of an objective function subject to constraints, both of which can be evaluated through a stochastic simulation. To address specific features of a particular simulation—discrete or continuous decisions, expensive or cheap simulations, single or multiple outputs, homogeneous or heterogeneous noise—various algorithms have been proposed in the literature. As one can imagine, there exist several competing algorithms for each of these classes of problems. This document emphasizes the difficulties in simulation optimization as compared to algebraic model-based mathematical programming makes reference to state-of-the-art algorithms in the field, examines and contrasts the different approaches used, reviews some of the diverse applications that have been tackled by these methods, and speculates on future directions in the field.
AbstractList Simulation optimization refers to the optimization of an objective function subject to constraints, both of which can be evaluated through a stochastic simulation. To address specific features of a particular simulation--discrete or continuous decisions, expensive or cheap simulations, single or multiple outputs, homogeneous or heterogeneous noise--various algorithms have been proposed in the literature. As one can imagine, there exist several competing algorithms for each of these classes of problems. This document emphasizes the difficulties in simulation optimization as compared to algebraic model-based mathematical programming makes reference to state-of-the-art algorithms in the field, examines and contrasts the different approaches used, reviews some of the diverse applications that have been tackled by these methods, and speculates on future directions in the field.[PUBLICATION ABSTRACT]
Simulation optimization refers to the optimization of an objective function subject to constraints, both of which can be evaluated through a stochastic simulation. To address specific features of a particular simulation—discrete or continuous decisions, expensive or cheap simulations, single or multiple outputs, homogeneous or heterogeneous noise—various algorithms have been proposed in the literature. As one can imagine, there exist several competing algorithms for each of these classes of problems. This document emphasizes the difficulties in simulation optimization as compared to algebraic model-based mathematical programming makes reference to state-of-the-art algorithms in the field, examines and contrasts the different approaches used, reviews some of the diverse applications that have been tackled by these methods, and speculates on future directions in the field.
Author Amaran, Satyajith
Sahinidis, Nikolaos V.
Sharda, Bikram
Bury, Scott J.
Author_xml – sequence: 1
  givenname: Satyajith
  surname: Amaran
  fullname: Amaran, Satyajith
  organization: Carnegie Mellon University
– sequence: 2
  givenname: Nikolaos V.
  surname: Sahinidis
  fullname: Sahinidis, Nikolaos V.
  email: niksah@gmail.com, sahinidis@cmu.edu
  organization: Carnegie Mellon University
– sequence: 3
  givenname: Bikram
  surname: Sharda
  fullname: Sharda, Bikram
  organization: Engineering and Process Sciences, Core R&D, The Dow Chemical Company
– sequence: 4
  givenname: Scott J.
  surname: Bury
  fullname: Bury, Scott J.
  organization: Engineering and Process Sciences, Core R&D, The Dow Chemical Company
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Issue 4
Keywords 90-02 Operations research, mathematical programming: Research exposition (monographs, survey articles)
90C56 Derivative-free methods and methods using generalized derivatives
Simulation optimization
Optimization via simulation
Derivative-free optimization
65-02 Numerical analysis: Research exposition (monographs, survey articles)
Language English
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PublicationDate 2014-12-01
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  year: 2014
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PublicationPlace Berlin/Heidelberg
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PublicationSubtitle A Quarterly Journal of Operations Research
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PublicationYear 2014
Publisher Springer Berlin Heidelberg
Springer Nature B.V
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Snippet Simulation optimization refers to the optimization of an objective function subject to constraints, both of which can be evaluated through a stochastic...
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StartPage 301
SubjectTerms Algebra
Algorithms
Business and Management
Industrial and Production Engineering
Invited Survey
Mathematical functions
Mathematical programming
Operations research
Operations Research/Decision Theory
Optimization
R&D
Random variables
Research & development
Simulation
Software
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