Penalty function with memory for discrete optimization via simulation with stochastic constraints

DOI10.1287/OPRE.2015.1417MaRDI QIDQ2795877zbMATHOpenAlexFDO

Authors Chuljin Park, Seong-Hee Kim

Publication date 22 March 2016

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.2015.1417

zbMATH Keywords

discrete optimization via simulationstochastic constraintspenalty function with memory

Mathematics Subject Classification ID

Stochastic programming (90C15) Integer programming (90C10)

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Cites work

• A combined procedure for optimization via simulation
• A model reference adaptive search method for stochastic global optimization
• A modification of the stochastic ruler method for discrete stochastic optimization
• A procedure for selecting a subset of size m containing the l best of k independent normal populations, with applications to simulation
• A simulated annealing algorithm with constant temperature for discrete stochastic optimization
• Accelerating the convergence of random search methods for discrete stochastic optimization
• Approximate Simulation Budget Allocation for Selecting the Best Design in the Presence of Stochastic Constraints
• Balanced explorative and exploitative search with estimation for simulation optimization
• Finding feasible systems in the presence of constraints on multiple performance measures
• Fully sequential procedures for comparing constrained systems via simulation
• Optimization for simulation: theory vs. practice
• Simulation-Based Discrete Optimization of Stochastic Discrete Event Systems Subject to Non Closed-Form Constraints

Cited in

(8)

• Efficient optimization algorithms for surgical scheduling under uncertainty
• Efficient optimization in stochastic production planning problems with product substitution
• Improved penalty function with memory for stochastically constrained optimization via simulation
• Pareto set estimation with guaranteed probability of correct selection
• Metamodel-based simulation optimization considering a single stochastic constraint
• Rapid screening algorithms for stochastically constrained problems
• Self-adjusting the tolerance level in a fully sequential feasibility check procedure
• An asymptotically optimal strategy for constrained multi-armed bandit problems

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Uses Software

• R-SPLINE

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