Optimization by simulation metamodelling methods

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


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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)
Venue - Dates: Proceedings of the 2004 Winter Simulation Conference, 2004-12-05 - 2004-12-08
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Keywords: Simulation, optimization
Organisations: Operational Research
ePrint ID: 29634
Date :
Date Event
Date Deposited: 15 May 2006
Last Modified: 16 Apr 2017 22:22
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/29634

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