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Title: A new approach to discrete stochastic optimization problems
Authors: Lin, X.
Lee, L.H. 
Keywords: Nested partition search
Optimal computing budget allocation
Ordinal optimization
Issue Date: 1-Aug-2006
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.
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
ISSN: 03772217
DOI: 10.1016/j.ejor.2004.11.006
Appears in Collections:Staff Publications

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