A Lexicographic Nelder–Mead simulation optimization method to solve multi‐criteria problems

Simulation optimization is an approach that is used to solve problems involving stochastic components. This paper presents a Lexicographic Nelder–Mead (LNM) based simulation optimization (LNM‐SO) method to solve multi‐criteria simulation optimization problems. The method is designed to be relatively easy‐to‐implement and be applicable to a wide range of problem domains. To effectively evaluate the overall performance of this method, a Time‐Quality Estimator (TQE) was developed to evaluate the performance of LNM‐SO in terms of both quality of solution and computational speed. Computational results of five different test problems showed that the method was highly effective.