A modified quasi-Newton method for optimization in simulation

A modified quasi-Newton method for optimization in simulation

0.00 Avg rating0 Votes
Article ID: iaor19982495
Country: United Kingdom
Volume: 4
Issue: 3
Start Page Number: 223
End Page Number: 233
Publication Date: May 1997
Journal: International Transactions in Operational Research
Authors: , ,
Keywords: optimization
Abstract:

Optimization in Simulation is an important problem often encountered in system behavior investigation; however, the existing methods such as response surface methodology and stochastic approximation method are inefficient. This paper presents a modification of a quasi-Newton method, in which the parameters are determined from some numerical experiments. To demonstrate the validity of the devised method, two examples resembling the M/M/1 queueing problem are solved. The closeness of the converged solutions to the optimal solutions and a comparison with two stochastic approximation methods indicate that the modified quasi-Newton method as devised in this paper is a robust and efficient method for solving optimization problems in simulation.

Reviews

Required fields are marked *. Your email address will not be published.