Stochastic Comparison Algorithm for Discrete Optimization with Estimation

DOI10.1137/S1052623495290684MaRDI QIDQ4518168zbMATH OpenOpenAlexFDO

Authors Wei-Bo Gong, Wengang Zhai, Yu-Chi Ho

Publication date 20 November 2000

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s1052623495290684

zbMATH Keywords

discrete optimizationrandom searchtime-inhomogeneous Markov chain

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Monte Carlo methods (65C05) Combinatorial optimization (90C27)

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(17)

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• Simulation budget allocation for simultaneously selecting the best and worst subsets
• Methods to compare expensive stochastic optimization algorithms with random restarts
• Stochastic comparison algorithm for discrete optimization with estimation of time-varying objective functions
• A PAC algorithm in relative precision for bandit problem with costly sampling
• Efficient simulation budget allocation for ranking the top \(m\) designs
• An accelerated stopping rule for the nested partition hybrid algorithm for discrete stochastic optimization
• Multi-objective ordinal optimization for simulation optimization problems
• Multi-objective simulation-based evolutionary algorithm for an aircraft spare parts allocation problem
• Stochastic comparison algorithm for continuous optimization with estimation
• Augmented simulation methods for discrete stochastic optimization with recourse
• Retrospective optimization of mixed-integer stochastic systems using dynamic simplex linear interpolation
• Discrete stochastic optimization using variants of the stochastic ruler method
• A Method for Discrete Stochastic Optimization
• An Asymptotically Optimal Set Approach for Simulation Optimization
• Simulation optimization using multi-time-scale adaptive random search
• Continuous optimization via simulation using golden region search

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