Discrete Optimization via Simulation Using COMPASS
Operations Research · 2006 · Volume 54 · Issue 1
Abstract
We propose an optimization-via-simulation algorithm, called COMPASS, for use when the performance measure is estimated via a stochastic, discrete-event simulation, and the decision variables are integer ordered. We prove that COMPASS converges to the set of local optimal solutions with probability 1 for both terminating and steady-state simulation, and for both fully constrained problems and partially constrained or unconstrained problems under mild conditions.
Keywords
simulation, design of experiments, optimization via simulation, programming, stochastic, adaptive random search
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