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A Modified Quasi‐Newton Method for Optimization in Simulation
Author(s) -
Kao C.,
Song W.T.,
Chen SP.
Publication year - 1997
Publication title -
international transactions in operational research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.032
H-Index - 52
eISSN - 1475-3995
pISSN - 0969-6016
DOI - 10.1111/j.1475-3995.1997.tb00078.x
Subject(s) - mathematical optimization , computer science , closeness , newton's method , queueing theory , stochastic optimization , stochastic approximation , mathematics , nonlinear system , key (lock) , mathematical analysis , computer network , physics , computer security , quantum mechanics
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.