A framework for response surface methodology for simulation optimization

H.G. Neddermeijer, Gerrit van Oortmarssen, Nanda Piersma and Rommert Dekker

No EI 2000-14/A, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: We develop a framework for automated optimization of stochastic simulation models using Response Surface Methodology. The framework is especially intended for simulation models where the calculation of the corresponding stochastic response function is very expensive or time-consuming. Response Surface Methodology is frequently used for the optimization of stochastic simulation models in a non-automated fashion. In scientific applications there is a clear need for a standardized algorithm based on Response Surface Methodology. In addition, an automated algorithm is less time-consuming, since there is no need to interfere in the optimization process. In our framework for automated optimization we describe all choices that have to be made in constructing such an algorithm.

Keywords: optimization; simulation (search for similar items in EconPapers)
Date: 2000-04-12
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Citations: View citations in EconPapers (10)

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