Please use this identifier to cite or link to this item:
|Title:||A new approach to discrete stochastic optimization problems|
|Keywords:||Nested partition search|
Optimal computing budget allocation
|Citation:||Lin, X., Lee, L.H. (2006-08-01). A new approach to discrete stochastic optimization problems. European Journal of Operational Research 172 (3) : 761-782. ScholarBank@NUS Repository. https://doi.org/10.1016/j.ejor.2004.11.006|
|Abstract:||Solving a discrete stochastic optimization problem involves two efforts: one is to sample and search the design space; and the other is to estimate the performance values of the sampled designs. When the amount of computational resources is limited, we need to know how to balance these two efforts in order to obtain the best result. In this paper, two performance measures which quantify the marginal contribution of the searching process as well as the performance evaluation process are proposed. Using these two measures, we recommend a framework that can dynamically allocate the computational resources to the search process and the performance evaluation process. Two algorithms based on the proposed framework are tested on several scenarios, and the results produced are very promising. © 2004 Elsevier B.V. All rights reserved.|
|Source Title:||European Journal of Operational Research|
|Appears in Collections:||Staff Publications|
Show full item record
Files in This Item:
There are no files associated with this item.
checked on Nov 14, 2018
WEB OF SCIENCETM
checked on Nov 6, 2018
checked on Nov 17, 2018
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.