On the optimal computing budget allocation problem for large scale simulation optimization

Mohammed Al-Salem, Mohammad Almomani, Mahmoud Alrefaei, Ali Diabat

Research output: Contribution to journalArticle

Abstract

Selecting a set that contains the best simulated systems is an important area of research. When the number of alternative systems is large, then it becomes impossible to simulate all alternatives, so one needs to relax the problem in order to find a good enough simulated system rather than simulating each alternative. One way for solving this problem is to use two-stage sequential procedure. In the first stage the ordinal optimization is used to select a subset that overlaps with the actual best systems with high probability. Then in the second stage an optimization procedure can be applied on the smaller set to select the best alternatives in it. In this paper, we consider the optimal computing budget allocation (OCBA) in the second stage that distribute available computational budget on the alternative systems in order to get a correct selection with high probability. We also discuss the effect of the simulation parameters on the performance of the procedure by implementing the procedure on three different examples. The numerical results indeed indicate that the choice of these parameters affect its performance.

Original languageEnglish (US)
Pages (from-to)149-159
Number of pages11
JournalSimulation Modelling Practice and Theory
Volume71
DOIs
StatePublished - Feb 1 2017

Keywords

  • Large scale problems
  • Optimal computing budget allocation
  • Ordinal optimization
  • Simulation optimization

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Hardware and Architecture

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