Article ID: | iaor20032106 |
Country: | United Kingdom |
Volume: | 30 |
Issue: | 4 |
Start Page Number: | 541 |
End Page Number: | 552 |
Publication Date: | Apr 2003 |
Journal: | Computers and Operations Research |
Authors: | Kao Chiang, Li Chang-Chung, Chen Shih-Pin |
Keywords: | optimization |
This paper modifies Powell's conjugate direction method for unconstrained, continuous, local optimization problems to adapt to the stochastic environment in simulation response optimization. The main idea underlying the proposed method is to conduct several replications at each trial point to obtain reliable estimate of the theoretical response. To avoid misjudging the real difference between two points due to the stochastic nature, a