Self-adjusting the tolerance level in a fully sequential feasibility check procedure

Mi Lim Lee, Chuljin Park and Dong Uk Park

European Journal of Operational Research, 2018, vol. 271, issue 2, 733-745

Abstract: We consider the problem of determining the feasibility of systems when the performance measures in stochastic constraints need to be evaluated via simulation. We develop a new procedure, namely the adaptive feasibility check procedure. Specifically, the procedure uses an existing feasibility check procedure iteratively as its subroutine with a decreasing sequence of tolerance levels. Our procedure is designed to return the set of strictly feasible systems with at least a prespecified probability. The validity and efficiency of the procedure are investigated through both analytical and experimental results. The procedure is also tested using numerical examples.

Keywords: Simulation; Stochastic constraints; Ranking and selection; Fully sequential algorithms; Multiple performance measures (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:271:y:2018:i:2:p:733-745

DOI: 10.1016/j.ejor.2018.05.045

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