Nested Partitions Method for Stochastic Optimization

Leyuan Shi () and Sigurdur O´lafsson ()
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Leyuan Shi: University of Wisconsin–Madison
Sigurdur O´lafsson: Iowa State University

Methodology and Computing in Applied Probability, 2000, vol. 2, issue 3, 271-291

Abstract: Abstract The nested partitions (NP) method is a recently proposed new alternative for global optimization. Primarily aimed at problems with large but finite feasible regions, the method employs a global sampling strategy that is continuously adapted via a partitioning of the feasible region. In this paper we adapt the original NP method to stochastic optimization where the performance is estimated using simulation. We prove asymptotic convergence of the new method and present a numerical example to illustrate its potential.

Keywords: simulation-based optimization; combinatorial optimization; Markov chain Monte Carlo. (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1023/A:1010081212560

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