24 August 1998 Simulation optimization: a new approach
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Abstract
We present a method for efficiently solving stochastic optimization problems of discrete event systems. The new method, the nested partitions (NP) method, uses partitioning, random sampling, selection of a promising index, and backtracking techniques to crete a Markov chain which has been proven with probability one to converge to a global optimum. One important feature of the NP method is that it can combine global search and local search procedures in a natural way. In particular, many sample path analysis techniques such as perturbation analysis and concurrent simulation can be effectively incorporated into the method. The NP method is demonstrated through a numerical example.
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Leyuan Shi, Leyuan Shi, } "Simulation optimization: a new approach", Proc. SPIE 3369, Enabling Technology for Simulation Science II, (24 August 1998); doi: 10.1117/12.319340; https://doi.org/10.1117/12.319340
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