Simulation Budget Allocation for Further Enhancing the Efficiency of Ordinal Optimization (2000)
| Venue: | Journal of Discrete Event Dynamic Systems: Theory and Applications |
| Citations: | 30 - 6 self |
BibTeX
@ARTICLE{Chen00simulationbudget,
author = {Chun-hung Chen and Jianwu Lin and Stephen E. Chick},
title = {Simulation Budget Allocation for Further Enhancing the Efficiency of Ordinal Optimization},
journal = {Journal of Discrete Event Dynamic Systems: Theory and Applications},
year = {2000},
pages = {251--270}
}
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Abstract
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.
