Simulation based optimization

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1、SIMULATION-BASEDOPTIMIZATIONByGengDengAdissertationsubmittedinpartialfulfillmentoftherequirementsforthedegreeofDoctorofPhilosophy(MathematicsandComputationinEngineering)attheUNIVERSITYOFWISCONSIN–MADISON2007°cCopyrightbyGengDeng2007AllRightsReservediAbstractComputersimulationsareuse

2、dextensivelyasmodelsofrealsystemstoeval-uateoutputresponses.Thechoiceofoptimalsimulationparameterscanleadtoimprovedoperation,butconfiguringthemwellremainsachallengingproblem.Simulation-basedoptimizationisanemergingfieldwhichintegratesoptimizationtechniquesintosimulationanalysis.Thepar

3、ametercalibrationoroptimizationproblemisformulatedasastochasticprogrammingproblemwhoseobjectivefunctionisanassociatedmeasurementofanexperimentalsimulation.Duetothecomplexityofthesimulation,theobjectivefunctionistypically(a)subjecttovariouslevelsofnoise,(b)notnecessarilydifferen-tiabl

4、e,and(c)computationallyexpensivetoevaluate.Contemporarysimulation-basedoptimizationmethodsincluderesponsesurfacemethodology,heuristicmethodsandstochasticapproximation.Ouroptimizationmethodsproposedinthedissertationareadaptedfromthederivative-freeoptimizationapproach,whichdoesnottryt

5、outilizeordi-rectlyestimatethegradientvalue.Accordingly,wecanavoidthesensitivegradientestimationprocess.Anotherimportantfeatureofourmethodsistousereplicatedsamplestoreducethenoiselevel.Theideaissimilartothatofthesample-pathoptimizationmethod,exceptthatwehaveappliedBayesianinferencet

6、oolsinanovelfashiontocomputevariablenumbersofiireplicationsfordifferentpoints.Thedissertationworkiscomprisedofbothoptimizationalgorithmdesignandreal-worldapplications.Wehaveformulatedthesimulation-basedop-timizationasastochasticminimizationproblem,withtheexpectationformofthestochasti

7、cfunction.SimpleconstraintsofparametersandseparatesituationsconcerningimplementingCommonRandomNumbers(CRN)areconsidered.Weconcentrateonalgorithmsforproblemswherethenumberofsimulationparametersissmall.Weproposeatwo-phaseoptimizationframeworkforsimulation-basedoptimization.PhaseIisagl

8、obalexplorationstep