Statistical Testing of Optimality Conditions in Multiresponse Simulation-based Optimization (Revision of 2005-81)

B.W.M. Bettonvil, E. del Castillo and Jack P.C. Kleijnen

No 2007-45, Discussion Paper from Tilburg University, Center for Economic Research

Abstract: This paper studies simulation-based optimization with multiple outputs. It assumes that the simulation model has one random objective function and must satisfy given constraints on the other random outputs. It presents a statistical procedure for test- ing whether a specific input combination (proposed by some optimization heuristic) satisfies the Karush-Kuhn-Tucker (KKT) first-order optimality conditions. The pa- per focuses on "expensive" simulations, which have small sample sizes. The paper applies the classic t test to check whether the specific input combination is feasi- ble, and whether any constraints are binding; it applies bootstrapping (resampling) to test the estimated gradients in the KKT conditions. The new methodology is applied to three examples, which gives encouraging empirical results.

JEL-codes: C0 C1 C9 C15 C44 C61 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp and nep-ecm
Date: 2007
View list of references

Downloads: (external link)
http://arno.uvt.nl/show.cgi?fid=61052 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:dgr:kubcen:200745

Access Statistics for this paper

More papers in Discussion Paper from Tilburg University, Center for Economic Research
Series data maintained by Corry Stuyts ().