Constrained optimization in simulation: A novel approach

Jack P.C. Kleijnen, W.C.M. van Beers, I. van Nieuwenhuyse

Research output: Contribution to journalArticleScientificpeer-review

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Abstract

This article presents a novel heuristic for constrained optimization of computationally expensive random simulation models. One output is selected as objective to be minimized, while other outputs must satisfy given threshold values. Moreover, the simulation inputs must be integer and satisfy linear or nonlinear constraints. The heuristic combines (i) sequentialized experimental designs to specify the simulation input combinations, (ii) Kriging (or Gaussian process or spatial correlation modeling) to analyze the global simulation input/output data resulting from these designs, and (iii) integer nonlinear programming to estimate the optimal solution from the Kriging metamodels. The heuristic is applied to an (s, S) inventory system and a call-center simulation, and compared with the popular commercial heuristic OptQuest embedded in the Arena versions 11 and 12. In these two applications the novel heuristic outperforms OptQuest in terms of number of simulated input combinations and quality of the estimated optimum.
Original languageEnglish
Pages (from-to)164-174
JournalEuropean Journal of Operational Research
Volume202
Issue number1
Publication statusPublished - 2010

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Constrained optimization
Nonlinear programming
Constrained Optimization
Design of experiments
Heuristics
Kriging
Simulation
Output
Nonlinear Integer Programming
Call Centres
Nonlinear Constraints
Inventory Systems
Spatial Correlation
Linear Constraints
Metamodel
Threshold Value
Experimental design
Gaussian Process
Simulation Model
Optimal Solution

Cite this

Kleijnen, Jack P.C. ; van Beers, W.C.M. ; van Nieuwenhuyse, I. / Constrained optimization in simulation : A novel approach. In: European Journal of Operational Research. 2010 ; Vol. 202, No. 1. pp. 164-174.
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Kleijnen, JPC, van Beers, WCM & van Nieuwenhuyse, I 2010, 'Constrained optimization in simulation: A novel approach' European Journal of Operational Research, vol. 202, no. 1, pp. 164-174.

Constrained optimization in simulation : A novel approach. / Kleijnen, Jack P.C.; van Beers, W.C.M.; van Nieuwenhuyse, I.

In: European Journal of Operational Research, Vol. 202, No. 1, 2010, p. 164-174.

Research output: Contribution to journalArticleScientificpeer-review

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