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Title : Random Search Methods for Optimization via Simulation
Date : April 21, 2008
Speaker : Sigrun Andradottir, Professor
Affiliation : H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology
Abstract
Consider the problem of optimizing the performance of a complex stochastic system using computer simulation. We will consider the solution of such problems using random search methods that maintain appropriate balance between exploration, exploitation, and estimation. Exploration refers to searching the entire feasible region for promising solutions, exploitation involves seeking better solutions in the neighborhood of good solutions, and estimation refers to obtaining improved estimates of objective function values and of the optimal solution. Our focus will be on averaging methods for solving simulation optimization problems with discrete decision parameters and on resampling methods for solving simulation optimization problems with continuous parameters. We will present both asymptotic convergence theorems and numerical results.
Joint work with Andrei A. Prudius
Biosketch
Sigrun Andradottir is a Professor in the H. Milton Stewart School of Industrial and Systems Engineering at the Georgia Institute of Technology. Previously, she was an Assistant Professor and later an Associate Professor in the Departments of Industrial Engineering, Mathematics, and Computer Sciences at the University of Wisconsin - Madison . She received her Ph.D. in Operations Research from Stanford University in 1990. Her research interests include simulation, applied probability, and stochastic optimization.
