Optimization by simulation metamodelling methods


Cheng, Russell C.H. and Currie, Christine S.M. (2004) Optimization by simulation metamodelling methods. In, Proceedings of the 2004 Winter Simulation Conference, Washington DC, USA, 05 - 08 Dec 2004. Piscataway, USA, 6pp, 485-490.

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Description/Abstract

We consider how simulation metamodels can be used to optimize the performance of a system that depends on a number of factors. We focus on the situation where the number
of simulation runs that can be made is limited, and where a
large number of factors must be included in the metamodel.
Bayesian methods are particularly useful in this situation and
can handle problems for which classical stochastic optimization
can fail.

We describe the basic Bayesian methodology, and then an extension to this that fits a quadratic response surface which, for function minimization, is guaranteed to be positive definite. An example is presented to illustrate the methods proposed in this paper.

Item Type: Conference or Workshop Item (Paper)
ISSNs: 1100-7524 (print)
Related URLs:
Keywords: Simulation, optimization
Subjects: Q Science > QA Mathematics
H Social Sciences > HA Statistics
Divisions: University Structure - Pre August 2011 > School of Mathematics > Operational Research
ePrint ID: 29634
Date Deposited: 15 May 2006
Last Modified: 27 Mar 2014 18:18
URI: http://eprints.soton.ac.uk/id/eprint/29634

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