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Identifying efficient solutions via simulation : myopic multi-objective budget allocation for the bi-objective case
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Branke, Jürgen and Zhang, Wen (2019) Identifying efficient solutions via simulation : myopic multi-objective budget allocation for the bi-objective case. OR Spectrum, 41 . pp. 831-865. doi:10.1007/s00291-019-00561-0 ISSN 0171-6468.
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Official URL: https://doi.org/10.1007/s00291-019-00561-0
Abstract
Simulation optimisation offers great opportunities in the design and optimisation of complex systems. In the presence of multiple objectives there is usually no single solution that performs best on all objectives. Instead, there are several Pareto-optimal (efficient) solutions with different trade-offs which cannot be improved in any objective without sacrificing performance in another objective. For the case where alternatives are evaluated on multiple stochastic criteria, and the performance of an alternative can only be estimated via simulation, we consider the problem of efficiently identifying the Pareto optimal designs out of a (small) given set of alternatives. We present a simple myopic budget allocation algorithm for multi-objective problems and propose several variants for different settings. In particular, this myopic method only allocates one simulation sample to one alternative in each iteration. This paper shows how the algorithm works in bi-objective problems under different settings. Empirical tests show that our algorithm can significantly reduce the necessary simulation budget.
Item Type: | Journal Article | ||||||||
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Subjects: | H Social Sciences > HJ Public Finance Q Science > QA Mathematics |
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Divisions: | Faculty of Social Sciences > Warwick Business School > Operational Research & Management Sciences Faculty of Social Sciences > Warwick Business School |
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Library of Congress Subject Headings (LCSH): | Ranking and selection (Statistics), Mathematical optimization , Budget -- Simulation methods | ||||||||
Journal or Publication Title: | OR Spectrum | ||||||||
Publisher: | Springer | ||||||||
ISSN: | 0171-6468 | ||||||||
Official Date: | September 2019 | ||||||||
Dates: |
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Volume: | 41 | ||||||||
Page Range: | pp. 831-865 | ||||||||
DOI: | 10.1007/s00291-019-00561-0 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Reuse Statement (publisher, data, author rights): | This is a post-peer-review, pre-copyedit version of an article published in OR Spectrum. The final authenticated version is available online at: http://dx.doi.org/[insert DOI]”. | ||||||||
Access rights to Published version: | Open Access (Creative Commons) | ||||||||
Date of first compliant deposit: | 23 August 2019 | ||||||||
Date of first compliant Open Access: | 2 September 2019 | ||||||||
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