Simulation Budget Allocation for Further Enhancing the Efficiency of Ordinal Optimization |
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Authors: | Chun-Hung Chen Jianwu Lin Enver Yücesan Stephen E Chick |
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Affiliation: | (1) Systems Engineering Institute, Xi'an Jiaotong University, Xi'an, 710049;(2) Department of Systems Engineering, University of Pennsylvania, Philadelphia, PA, 19104-6315;(3) Technology Management Area INSEAD Fontainebleau, France;(4) Department of Industrial and Operations Engineering, University of Michigan, Ann Arbor, MI, 48109-2117 |
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Abstract: | Ordinal Optimization has emerged as an efficient technique for simulation and optimization. Exponential convergence rates can be achieved in many cases. In this paper, we present a new approach that can further enhance the efficiency of ordinal optimization. Our approach determines a highly efficient number of simulation replications or samples and significantly reduces the total simulation cost. We also compare several different allocation procedures, including a popular two-stage procedure in simulation literature. Numerical testing shows that our approach is much more efficient than all compared methods. The results further indicate that our approach can obtain a speedup factor of higher than 20 above and beyond the speedup achieved by the use of ordinal optimization for a 210-design example. |
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Keywords: | discrete-event simulation stochastic optimization ordinal optimisation queuing network |
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