Response Surface Methodology's Steepest Ascent and Step Size Revisited

J.P.C. Kleijnen, D. den Hertog, M.E. Angun

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Abstract

Response Surface Methodology (RSM) searches for the input combination maximizing the output of a real system or its simulation.RSM is a heuristic that locally fits first-order polynomials, and estimates the corresponding steepest ascent (SA) paths.However, SA is scale-dependent; and its step size is selected intuitively.To tackle these two problems, this paper derives novel techniques combining mathematical statistics and mathematical programming.Technique 1 called 'adapted' SA (ASA) accounts for the covariances between the components of the estimated local gradient.ASA is scale-independent.The step-size problem is solved tentatively.Technique 2 does follow the SA direction, but with a step size inspired by ASA.Mathematical properties of the two techniques are derived and interpreted; numerical examples illustrate these properties.The search directions of the two techniques are explored in Monte Carlo experiments.These experiments show that - in general - ASA gives a better search direction than SA.
Original languageEnglish
Place of PublicationTilburg
PublisherOperations research
Number of pages32
Volume2002-64
Publication statusPublished - 2002

Publication series

NameCentER Discussion Paper
Volume2002-64

Keywords

  • response surface methodology

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