Group for Research in Decision Analysis

A Combined Procedure for Optimization via Simulation

Juta Pichitlamken

We propose an optimization-via-simulation algorithm for use when the performance measure is estimated via a stochastic, discrete-event simulation, and the decision variables may be subject to deterministic linear integer constraints. Our approach – which consists of a global guidance system, a selection-of-the-best procedure, and local improvement – is globally convergent under very mild conditions.