Discrete optimization via simulation using COMPASS

L. Jeff Hong; Barry L. Nelson

doi:10.1287/opre.1050.0237

Discrete optimization via simulation using COMPASS

L. Jeff Hong, Barry L. Nelson

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

223 Citations (Scopus)

Abstract

We propose an optimization-via-simulation algorithm, called COMPASS, for use when the performance measure is estimated via a stochastic, discrete-event simulation, and the decision variables are integer ordered. We prove that COMPASS converges to the set of local optimal solutions with probability 1 for both terminating and steady-state simulation, and for both fully constrained problems and partially constrained or unconstrained problems under mild conditions. © 2006 INFORMS.

Original language	English
Pages (from-to)	115-129
Journal	Operations Research
Volume	54
Issue number	1
DOIs	https://doi.org/10.1287/opre.1050.0237
Publication status	Published - Jan 2006
Externally published	Yes

Research Keywords

Programming, stochastic: Adaptive random search
Simulation, design of experiments: Optimization via simulation

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AB - We propose an optimization-via-simulation algorithm, called COMPASS, for use when the performance measure is estimated via a stochastic, discrete-event simulation, and the decision variables are integer ordered. We prove that COMPASS converges to the set of local optimal solutions with probability 1 for both terminating and steady-state simulation, and for both fully constrained problems and partially constrained or unconstrained problems under mild conditions. © 2006 INFORMS.

KW - Programming, stochastic: Adaptive random search

KW - Simulation, design of experiments: Optimization via simulation

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DO - 10.1287/opre.1050.0237

M3 - RGC 21 - Publication in refereed journal

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VL - 54

SP - 115

EP - 129

JO - Operations Research

JF - Operations Research

IS - 1

ER -

Discrete optimization via simulation using COMPASS

Abstract

Research Keywords

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