Black box simulation optimization: Generalized response surface methodology

M.E. Angun

Research output: ThesisDoctoral Thesis

Abstract

The thesis consists of three papers in the area of Response Surface Methodology (RSM). The first paper deals with optimization problems with a single random objective. The contributions of that paper are a scale independent search direction and possible solutions for the step size. The second paper considers optimization problems with a single random objective and multiple random constraints, as well as deterministic box constraints. That paper extends RSM to cope with constraints, using ideas from interior point methods. Furthermore, it provides a heuristic to reach quickly a neighborhood of the optimum. The third paper copes with optimization problems with a single random objective and multiple random constraints. The contribution of that paper is an asymptotic stopping rule that tests the first-order necessary optimality conditions at a feasible point.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Kleijnen, Jack, Promotor
  • den Hertog, Dick, Promotor
Award date29 Jun 2004
Place of PublicationTilburg
Publisher
Print ISBNs9056681346
Publication statusPublished - 2004

Cite this