Discrete optimization via simulation using coordinate search

Research output: Chapter in Book/Report/Conference proceedingConference contribution

9 Scopus citations

Abstract

In this paper we propose a coordinate search algorithm to solve the optimization-via-simulation problems with integerordered decision variables. We show that the sequence of solutions generated by the algorithm converges to the set of local optimal solutions with probability 1 and the estimated optimal values satisfy a central limit theorem. We compare the coordinate search algorithm to the COMPASS algorithm proposed in Hong and Nelson (2004) through a set of numerical experiments. We see that the coordinate search has a better performance.

Original languageEnglish (US)
Title of host publicationProceedings of the 2005 Winter Simulation Conference
Pages803-810
Number of pages8
DOIs
StatePublished - 2005
Externally publishedYes
Event2005 Winter Simulation Conference - Orlando, FL, United States
Duration: Dec 4 2005Dec 7 2005

Publication series

NameProceedings - Winter Simulation Conference
Volume2005
ISSN (Print)0891-7736

Conference

Conference2005 Winter Simulation Conference
Country/TerritoryUnited States
CityOrlando, FL
Period12/4/0512/7/05

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