Optimal Computing Budget Allocation Approach for Simulation Optimization Problem

Abstract

Simulation is an important tool for modeling large, complex and stochastic systems. Even though the advance of computer technology has dramatically increased the computational power, efficiency is still a big concern when using simulation for evaluating large system design. The matter will be getting worse if many alternative designs need to be simulated with multiple replications so as the performance of each design alternative can be estimated accurately. There is a need to efficiently allocate the simulation budget to simulate various designs so the efficiency can be dramatically enhanced.In this talk, we will introduce the concept of optimal computing budget allocation problem(OCBA), and the various OCBA algorithms which can deal with the single and multi-objective problems, constraint optimization problems and subset selection problems.