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Bayesian simulation optimization with input uncertainty
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Pearce, Michael and Branke, Jürgen (2017) Bayesian simulation optimization with input uncertainty. In: 2017 Winter Simulation Conference (WSC), Las Vegas, NV, USA, 3-6 Dec 2017 pp. 2268-2278. ISBN 9781538634288. doi:10.1109/WSC.2017.8247958 ISSN 1558-4305.
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Official URL: http://dx.doi.org/10.1109/WSC.2017.8247958
Abstract
We consider simulation optimization in the presence of input uncertainty. In particular, we assume that the input distribution can be described by some continuous parameters, and that we have some prior knowledge defining the probability distribution for these parameters. We then seek the simulation design that has the best expected performance over the possible parameters of the input distributions. Assuming correlation of performance between solutions and also between input distributions, we propose modifications of two well-known simulation optimization algorithms, Efficient Global Optimization and Knowledge Gradient with Continuous Parameters, so that they work efficiently under input uncertainty.
Item Type: | Conference Item (Paper) | ||||||
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Subjects: | Q Science > QA Mathematics T Technology > TA Engineering (General). Civil engineering (General) |
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||
Library of Congress Subject Headings (LCSH): | Bayesian statistical decision theory, Simulation methods, Mathematical models | ||||||
Publisher: | IEEE | ||||||
ISBN: | 9781538634288 | ||||||
ISSN: | 1558-4305 | ||||||
Book Title: | 2017 Winter Simulation Conference (WSC) | ||||||
Official Date: | 2017 | ||||||
Dates: |
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Page Range: | pp. 2268-2278 | ||||||
DOI: | 10.1109/WSC.2017.8247958 | ||||||
Status: | Peer Reviewed | ||||||
Publication Status: | Published | ||||||
Reuse Statement (publisher, data, author rights): | © 2018 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. | ||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||
Date of first compliant deposit: | 15 January 2019 | ||||||
Date of first compliant Open Access: | 17 January 2019 | ||||||
Conference Paper Type: | Paper | ||||||
Title of Event: | 2017 Winter Simulation Conference (WSC) | ||||||
Type of Event: | Conference | ||||||
Location of Event: | Las Vegas, NV, USA | ||||||
Date(s) of Event: | 3-6 Dec 2017 |
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