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Discrete stochastic optimization using variants of the stochastic ruler method

✍ Scribed by Mahmoud H. Alrefaei; Sigrún Andradóttir

Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
190 KB
Volume
52
Category
Article
ISSN
0894-069X

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✦ Synopsis

Abstract

We present two random search methods for solving discrete stochastic optimization problems. Both of these methods are variants of the stochastic ruler algorithm. They differ from our earlier modification of the stochastic ruler algorithm in that they use different approaches for estimating the optimal solution. Our new methods are guaranteed to converge almost surely to the set of global optimal solutions under mild conditions. We discuss under what conditions these new methods are expected to converge faster than the modified stochastic ruler algorithm. We also discuss how these methods can be used for solving discrete optimization problems when the values of the objective function are estimated using either transient or steady‐state simulation. Finally, we present numerical results that compare the performance of our new methods with that of the modified stochastic ruler algorithm when applied to solve buffer allocation problems. © 2005 Wiley Periodicals, Inc. Naval Research Logistics, 2005.

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