Statistical testing of optimality conditions in multiresponse simulation-based optimization
Bettonvil,B.W.M. Del Castillo,E. Kleijnen,J.P.C.
Bettonvil,B.W.M.
Del Castillo,E.
Kleijnen,J.P.C.
Abstract
This article studies simulation-based optimization with multiple outputs. It assumes that the simulation model has one random objective function and must satisfy given constraints on the other random outputs. It presents a statistical procedure for testing whether a specific input combination (proposed by some optimization heuristic) satisfies the Karush–Kuhn–Tucker (KKT) first-order optimality conditions. The article focuses on “expensive” simulations, which have small sample sizes. The article applies the classic t test to check whether the specific input combination is feasible, and whether any constraints are binding; next, it applies bootstrapping (resampling) to test the estimated gradients in the KKT conditions. The new methodology is applied to three examples, which gives encouraging empirical results.
Description
Appeared earlier as CentER DP 2007-45
Date
2009
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Research Projects
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Citation
Bettonvil, B W M, Del Castillo, E & Kleijnen, J P C 2009, 'Statistical testing of optimality conditions in multiresponse simulation-based optimization', European Journal of Operational Research, vol. 199, no. 2, pp. 448-458.