Stochastic Approximation with Simulated Annealing as an Approach to Global Discrete-Event Simulation Optimization

This paper explores an approach to global, stochastic, simulation optimization which combines stochastic approximation (SA) with simulated annealing (SAN). SA directs a search of the response surface efficiently, using a conservative number of simulation replications to approximate the local gradient of a probabilistic loss function. SAN adds a random component to the SA search, needed to escape local optima and forestall premature termination. Using a limited set of simple test problems, we compare the performance of SA/SAN with the commercial package OptQuest. Results demonstrate that SA/SAN can outperform OptQuest when properly tuned. The practical difficulty lies in specifying an appropriate set of SA/SAN gain coefficients for a given application. Further results demonstrate that a multi-start approach greatly improves the coverage and robustness of SA/SAN, while also providing insights useful in directing iterative improvement of the gain coefficients before each new start. This ...

• Type: Conference
• Year: 2004
• Where: WSC
• Authors: Matthew H. Jones, K. Preston White
• Keywords: Forestall Premature Termination, Gain Coefficients, Modeling And Simulation, SA/SAN Gain Coefficients, WSC 2004