Simulation-Based Optimization I Regeneration, Common Random基于优化我再生模拟，常见的随机.pptVIP

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Simulation-Based Optimization I Regeneration, Common Random基于优化我再生模拟，常见的随机.ppt

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Simulation-Based Optimization I Regeneration, Common Random基于优化我再生模拟，常见的随机

CHAPTER 14 SIMULATION-BASED OPTIMIZATION I: REGENERATION, COMMON RANDOM NUMBERS, AND RELATED METHODS Organization of chapter in ISSO Background Simulation-based optimization vs. model building Regenerative processes Special structure for loss estimation and optimization FDSA and SPSA in simulation-based optimization Improved convergence through common random numbers Discrete optimization via statistical selection Slides for Introduction to Stochastic Search and Optimization (ISSO) by J. C. Spall 14-* Background: Simulation-Based Optimization Optimization arises in two ways in simulation: Building simulation model (parameter estimation) Using simulation for optimization of real system given that problem A has been solved Focus here is problem B Fundamental goal is to optimize design vector ? in real system; simulation is proxy in optimization process Loss function to be minimized L(?) represents average system performance at given ?; simulation runs produce noisy (approximate) value of L(?) Appropriate stochastic optimization method yields “intelligent” trial-and-error in choice of how to run simulation to find best ? 14-* Background (cont’d) Many modern processes are studied by Monte Carlo simulation (manufacturing, defense, epidemiological, transportation, etc.) Loss functions for such systems typically have form where Q(?) represents a function describing output of process based on Monte Carlo random effects in V Simulation produces sample replications of Q(?,V) (typically one simulation produces one value of Q(?)) Examples of Q(?) might be defective products in manufacturing process, inaccuracy of weapon system, disease incidence in particular population, cumulative vehicle wait time at traffic signals, etc. 14-* Background (cont’d) Important assumption is that simulation is faithful representation of true system Recall that overall goal is to find ? that minimizes mean value of Q(?,V) Equivalent to optimizing average performance of true system S