A modified quasi-Newton method for optimization in simulation

✍ Scribed by Chiang Kao; Wheyming Tina Song; Shih-Pin Chen

• Publisher: John Wiley and Sons
• Year: 1997
• Tongue: English
• Weight: 753 KB
• Volume: 4
• Category: Article
• ISSN: 0969-6016
• DOI: 10.1016/s0969-6016(97)00004-x

✦ Synopsis

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.