Efficient Computing Budget Allocation for Simulation-Based Optimization With Stochastic Simulation Time

DOI10.1109/TAC.2012.2208317MaRDI QIDQ5353133zbMATH OpenOpenAlexFDO

Authors

Publication date 8 September 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1206.5865

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Discrete event control/observation systems (93C65)

Abstract: The dynamics of many systems nowadays follow not only physical laws but also man-made rules. These systems are known as discrete event dynamic systems and their performances can be accurately evaluated only through simulations. Existing studies on simulation-based optimization (SBO) usually assume deterministic simulation time for each replication. However, in many applications such as evacuation, smoke detection, and territory exploration, the simulation time is stochastic due to the randomness in the system behavior. We consider the computing budget allocation for SBO's with stochastic simulation time in this paper, which has not been addressed in existing literatures to the author's best knowledge. We make the following major contribution. The relationship between simulation time and performance estimation accuracy is quantified. It is shown that when the asymptotic performance is of interest only the mean value of individual simulation time matters. Then based on the existing optimal computing budget allocation (OCBA) method for deterministic simulation time we develop OCBA for stochastic simulation time (OCBAS), and show that OCBAS is asymptotically optimal. Numerical experiments are used to discuss the impact of the variance of simulation time, the impact of correlated simulation time and performance estimation, and to demonstrate the performance of OCBAS on a smoke detection problem in wireless sensor network. The numerical results also show that OCBA for deterministic simulation time is robust even when the simulation time is stochastic.

Cited in

(7)

• Simulation budget allocation for further enhancing the efficiency of ordinal optimization
• Simulation budget allocation for simultaneously selecting the best and worst subsets
• Optimal computing budget allocation for ordinal optimization in solving stochastic job shop scheduling problems
• Optimal budget allocation policy for tabu search in stochastic simulation optimization
• Resource Allocation Among Simulation Time Steps
• An Efficient Budget Allocation Approach for Quantifying the Impact of Input Uncertainty in Stochastic Simulation
• Optimal computing budget allocation to select Pareto set under stochastic constraints

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