Simulation-based optimization over discrete sets with noisy constraints

References

• Ahmed , M. A. , Alkhamis , T. M. and Hasan , M. 1997 . Optimizing discrete stochastic systems using simulated annealing and simulation . Computers and Industrial Engineering , 32 : 823 – 836 .
   Web of Science ®Google Scholar
• Andradóttir , S. 1995 . A method for discrete stochastic optimization . Management Science , 41 ( 12 ) : 1946 – 1961 .
   Web of Science ®Google Scholar
• Andradóttir , S. , Goldsman , D. and Kim , S.H. 2005 . Finding the best in the presence of a stochastic constraint, in Proceedings of the 2005 Winter Simulation Conference , 732 – 738 . Piscataway , NJ : IEEE Press .
   Google Scholar
• Andradóttir , S. and Kim , S. H. 2010 . Fully sequential procedures for comparing constrained systems via simulation . Naval Research Logistics , 57 : 403 – 421 .
   Web of Science ®Google Scholar
• Batur , D. and Kim , S. H. 2001 . Finding feasible systems in the presence of constraints on multiple performance measures . ACM Transactions on Modeling and Computer Simulation , 47 : 800 – 816 .
   Google Scholar
• Bazaraa , M.S. , Sherali , H.D. and Shetty , C.M. 2006 . Nonlinear Programming: Theory and Algorithms , Hoboken , NJ : John Wiley & Sons .
   Google Scholar
• Benveniste , A. , Métivier , M. and Priouret , P. 1990 . Adaptive Algorithms and Stochastic Approximations , New York : Springer-Verlag .
   Google Scholar
• Dupač , V. and Herkenrath , U. 1983 . Stochastic approximation on a discrete set and the multi-armed bandit problem . Communications in Statistics - Sequential Analysis , 1 : 1 – 25 .
   Google Scholar
• Fu , M. C. 2002 . Optimization for simulation: theory vs. practice . INFORMS Journal on Computing , 14 : 192 – 215 .
   Web of Science ®Google Scholar
• Gelfand , S. B. and Mitter , S. K. 1989 . Simulated annealing with noisy or imprecise energy measurements . Journal of Optimization Theory and Applications , 62 ( 1 ) : 49 – 62 .
   Web of Science ®Google Scholar
• Gerencsér , L.S. , Hill , D. and Vago , Z. 1999 . Optimization over discrete sets via SPSA, in Proceedings of the IEEE Conference on Decision and Control , 1791 – 1795 . Piscataway , NJ : IEEE Press .
   Google Scholar
• Glover , F. 1989 . Tabu search—part I . ORSA Journal on Computing , 1 : 190 – 206 .
   Google Scholar
• Gokbayrak , K. and Cassandras , C. G. 2002 . Generalized surrogate problem methodology for online stochastic discrete optimization . Journal of Optimization Theory and Applications , 114 ( 1 ) : 97 – 132 .
   Web of Science ®Google Scholar
• Goldsman , D. and Nelson , B.L. 1994 . Ranking, selection and multiple comparisons in computer simultaions, in Proceedings of the 1994 Winter Simulation Conference , 192 – 199 . Piscataway , NJ : IEEE Press .
   Google Scholar
• Henderson , S.G. and Nelson , B.L. 2006 . Hanbooks in Operations Research and Management Science: Simulation , Vol. 13 , Amsterdam , , The Netherlands : Elsevier .
   Google Scholar
• Ho , Y. C. , Sreenivas , R. and Vakili , P. 1992 . Ordinal optimization of discrete event dynamic systems . Journal of Discrete Event Dynamic Systems , 2 ( 2 ) : 61 – 88 .
   Google Scholar
• Hong , L. J. and Nelson , B. L. 2006 . Discrete optimization via simulation using compass . Operations Research , 54 : 115 – 129 .
   Web of Science ®Google Scholar
• Kleywegt , A. J. , Shapiro , A. and Homem-de-Mello , T. 2001 . The sample average approximation method for stochastic discrete optimization . SIAM Journal on Optimization , 12 ( 2 ) : 479 – 502 .
   Web of Science ®Google Scholar
• Kushner , H.J. and Clark , D.C. 1978 . Stochastic Approximation Methods for Constrained and Unconstrained Systems , New York , NY : Springer-Verlag .
   Google Scholar
• Kushner , H. J. and Sanvicente , E. 1975 . Stochastic approximation of constrained systems with system and constraint noise . Automatica , 11 : 375 – 380 .
   Web of Science ®Google Scholar
• Li , J. , Sava , A. and Xie , X. 2009 . Simulation-based discrete optimization of stochastic discrete event systems subject to non closed form constraints . IEEE Transactions on Automatic Control , 54 : 2900 – 2904 .
   Web of Science ®Google Scholar
• Liepins , G. E. and Hilliard , M. R. 1989 . Genetic algorithms: foundations and applications . Annals of Operations Research , 21 : 31 – 58 .
   Google Scholar
• Luenberger , D.G. 1969 . Optimization by Vector Space Methods , New York , NY : John Wiley & Sons .
   Google Scholar
• Marsden , J.E. and Hoffman , M.J. 1993 . Elementary Classical Analysis , New York , NY : W.H. Freeman and Company .
   Google Scholar
• Murray , W. 1967 . Ill-conditioning in barrier and penalty functions arising in constrained nonlinear programming, in Proceedings of the Sixth International Symposium on Mathematical Programming
   Google Scholar
• Nelson , B. L. 2010 . “ Optimization via simulation over discrete decision variables ” . In Tutorials in Operations Research Risk and Optimization in an Uncertain World , Edited by: Hasenbein , J.J. 193 – 207 . Austin , TX : INFORMS .
   Google Scholar
• Prudius , A. A. and Andradóttir , S. 2009 . Balanced explorative and exploitative search with estimation for simulation optimization . INFORMS Journal on Computing , 21 : 193 – 208 .
   Web of Science ®Google Scholar
• Pujowidianto , N.A. , Lee , L.H. , Chen , C.H. and Yap , C.M. 2009 . Optimal computing budget allocation for constrained optimization, in Proceedings of the 2009 Winter Simulation Conference , 584 – 589 . Piscataway , NJ : IEEE Press .
   Google Scholar
• Rockafellar , R.T. 1970 . Convex Analysis , Princeton , NJ : Princeton University Press .
   Google Scholar
• Shi , L. and Olafsson , S. 2000 . Nested partitions method for stochastic optimization . Methodology and Computing in Applied Probability , 2 : 271 – 291 .
   Google Scholar
• Song , J.S. , Wang , M. and Zhang , H. 2008 . On the convexity of discrete(r, Q) and (s, T) inventory systems Available from https://faculty.fuqua.duke.edu/~jssong/bio/Discrete-Convexity-08-Mar-31.pdf(accessed May 1, 2011)
   Google Scholar
• Whitney , J.E. , Solomon , L.I. and Hill , S.D. 2001 . Constrained optimization over discrete sets via SPSA with application to non-separable resource allocation, in Proceedings of the 2001 Winter Simulation Conference , 313 – 317 . Piscataway , NJ : IEEE Press .
   Google Scholar
• Williams , D. 1991 . Probability with Martingales , Cambridge , UK : Cambridge University Press .
   Google Scholar
• Yan , D. and Mukai , H. 1992 . Stochastic discrete optimization . SIAM Journal of Control and Optimization , 30 : 594 – 612 .
   Web of Science ®Google Scholar
• Zangwill , W.I. 1969 . Nonlinear Programming: A Unified Approach , Englewood Cliffs , NJ : Prentice-Hall .
   Google Scholar