A Modified Quasi-Newton Method for Optimization in Simulation |
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Authors: | C. Kao W.T. Song S-P. Chen |
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Affiliation: | National Cheng Kung University, Republic of China;National Tsing Hua University, Republic of China;National Tsing Hua University, Republic of China |
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Abstract: | Optimization in Simulation is an important problem often encountered in system behavior investigation; however, the existing methods such as response surface methodology and stochastic approximation method are inefficient. This paper presents a modification of a quasi-Newton method, in which the parameters are determined from some numerical experiments. To demonstrate the validity of the devised method, two examples resembling the M/M/1 queueing problem are solved. The closeness of the converged solutions to the optimal solutions and a comparison with two stochastic approximation methods indicate that the modified quasi-Newton method as devised in this paper is a robust and efficient method for solving optimization problems in simulation. |
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Keywords: | Stochastic optimization quasi-Newton method simulation. |
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