Cheng, Russell C.H. and Currie, Christine S.M.
Optimization by simulation metamodelling methods
At Proceedings of the 2004 Winter Simulation Conference.
05 - 08 Dec 2004.
6 pp, .
Full text not available from this repository.
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
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.
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