Discrete Optimization via Simulation Using COMPASS

L. Jeff Hong () and Barry L. Nelson ()
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L. Jeff Hong: Department of Industrial Engineering and Logistics Management, The Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong, China
Barry L. Nelson: Department of Industrial Engineering and Management Sciences, Northwestern University, Evanston, Illinois 60208-3119

Operations Research, 2006, vol. 54, issue 1, 115-129

Abstract: We propose an optimization-via-simulation algorithm, called COMPASS, for use when the performance measure is estimated via a stochastic, discrete-event simulation, and the decision variables are integer ordered. We prove that COMPASS converges to the set of local optimal solutions with probability 1 for both terminating and steady-state simulation, and for both fully constrained problems and partially constrained or unconstrained problems under mild conditions.

Keywords: simulation; design of experiments; optimization via simulation; programming; stochastic; adaptive random search (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (42)

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