Black box simulation optimization: Generalized response surface methodology

M.E. Angun

Research output: ThesisDoctoral Thesis

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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

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Simulation optimization
Black box
Response surface methodology
Optimization problem
Stopping rule
Interior point method
Heuristics
Optimality conditions

Cite this

Angun, M. E. (2004). Black box simulation optimization: Generalized response surface methodology. Tilburg: CentER, Center for Economic Research.
Angun, M.E.. / Black box simulation optimization : Generalized response surface methodology. Tilburg : CentER, Center for Economic Research, 2004. 113 p.
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author = "M.E. Angun",
year = "2004",
language = "English",
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series = "CentER Dissertation Series",
publisher = "CentER, Center for Economic Research",
school = "Tilburg University",

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Angun, ME 2004, 'Black box simulation optimization: Generalized response surface methodology', Doctor of Philosophy, Tilburg University, Tilburg.

Black box simulation optimization : Generalized response surface methodology. / Angun, M.E.

Tilburg : CentER, Center for Economic Research, 2004. 113 p.

Research output: ThesisDoctoral Thesis

TY - THES

T1 - Black box simulation optimization

T2 - Generalized response surface methodology

AU - Angun, M.E.

PY - 2004

Y1 - 2004

N2 - 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.

AB - 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.

M3 - Doctoral Thesis

SN - 9056681346

T3 - CentER Dissertation Series

PB - CentER, Center for Economic Research

CY - Tilburg

ER -

Angun ME. Black box simulation optimization: Generalized response surface methodology. Tilburg: CentER, Center for Economic Research, 2004. 113 p. (CentER Dissertation Series).