A simulation–optimization method: Its convergence and utility

Guy L. Curry and Darald J. Hartfiel

Naval Research Logistics Quarterly, 1983, vol. 30, issue 2, 227-236

Abstract: An optimization method is given for solving problems where a portion of the explicit mathematical form is unknown but can be evaluated. The solution scheme is an iterative process utilizing optimization and subsystem evaluation (such as via simulation). Conditions for the convergence of the iterative process are given. Several published application articles are noted as using this basic methodology. The method is superior to most other numerical optimization procedures. However, the class of problems for which the method is applicable is restricted to problems with enough known structure to generate a convergent iterative procedure. Three numerical examples are given and comparisons made with several other methods of optimizing unknown systems.

Date: 1983
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Persistent link: https://EconPapers.repec.org/RePEc:wly:navlog:v:30:y:1983:i:2:p:227-236

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