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Stochastic trust region gradient-free method (strong): a new response-surface-based algorithm in simulation optimization

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Stochastic trust region gradient-free method (strong): a new response-surface-based algorithm in simulation optimization
Response Surface Methodology (RSM) is a metamodelbased optimization method. Its strategy is to explore small subregions of the parameter space in succession instead of attempting to explore the entire parameter space directly. This method has been widely used in simulation optimization. However, RSM has two significant shortcomings: Firstly, it is not automated. Human involvements are usually required in the search process. Secondly, RSM is heuristic without convergence guarantee. This paper proposes Stochastic Trust Region Gradient-Free Method (STRONG) for simulation optimization with continuous decision variables to solve these two problems. STRONG combines the traditional RSM framework with the trust region method for deterministic optimization to achieve convergence property and eliminate the requirement of human involvement. Combined with appropriate experimental designs and specifically efficient screening experiments, STRONG has the potential of solving high-dimensional prob...
Kuo-Hao Chang, L. Jeff Hong, Hong Wan
Added 02 Oct 2010
Updated 02 Oct 2010
Type Conference
Year 2007
Where WSC
Authors Kuo-Hao Chang, L. Jeff Hong, Hong Wan
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