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Rapid screening algorithms for stochastically constrained problems

Shing Chih Tsai () and Tse Yang
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Shing Chih Tsai: National Cheng Kung University
Tse Yang: National Cheng Kung University

Annals of Operations Research, 2017, vol. 254, issue 1, No 19, 425-447

Abstract: Abstract A simulation optimization framework containing three fundamental stages (feasibility check, screening, and selection) is proposed for solving the zero-one optimization via simulation problem in the presence of a single stochastic constraint. We present three rapid screening algorithms that combine these three stages in different manners, such that various sampling mechanisms are applied, therefore yielding different statistical guarantees. An empirical evaluation for the efficiency comparison between the proposed algorithms and other existing works is provided.

Keywords: Simulation; Output analysis; Optimization via simulation; Ranking and selection; Stochastic constraint (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s10479-017-2459-6

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