A modified quasi-newton method for optimization in simulation

Chiang Kao, W. T. Song, S. P. Chen

Research output: Contribution to journalArticle

12 Citations (Scopus)

Abstract

Optimization in Simulation is an important problem often encountered in system behavior investigation; however, the existing methods such as response surface methodology and stochastic approximation method are inefficient. This paper presents a modification of a quasi-Newton method, in which the parameters are determined from some numerical experiments. To demonstrate the validity of the devised method, two examples resembling the M/M/1 queueing problem are solved. The closeness of the converged solutions to the optimal solutions and a comparison with two stochastic approximation methods indicate that the modified quasi-Newton method as devised in this paper is a robust and efficient method for solving optimization problems in simulation.

Original languageEnglish
Pages (from-to)223-233
Number of pages11
JournalInternational Transactions in Operational Research
Volume4
Issue number3
DOIs
Publication statusPublished - 1997 Jan 1

Fingerprint

Newton-Raphson method
Experiments
Simulation

All Science Journal Classification (ASJC) codes

  • Business and International Management
  • Computer Science Applications
  • Strategy and Management
  • Management Science and Operations Research
  • Management of Technology and Innovation

Cite this

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A modified quasi-newton method for optimization in simulation. / Kao, Chiang; Song, W. T.; Chen, S. P.

In: International Transactions in Operational Research, Vol. 4, No. 3, 01.01.1997, p. 223-233.

Research output: Contribution to journalArticle

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