An on-line simulation approach to search efficient values of decision variables in stochastic systems

摘要

This paper deals with a discrete simulation optimization method for designing a complex probabilistic discrete event system. The proposed algorithm in this paper searches the effective and reliable alternatives satisfying the target values of the system to be designed through a single run in a relatively short time period. It tries to estimate an auto-regressive model, and construct mean and confidence interval for evaluating correctly the objective function obtained by a small amount of output data. The experimental results using the proposed method are also shown.