Related papers: A tutorial on kriging-based stochastic simulation …
Stochastic kriging has been widely employed for simulation metamodeling to predict the response surface of complex simulation models. However, its use is limited to cases where the design space is low-dimensional because, in general, the…
Simulation Optimization (SO) refers to the optimization of an objective function subject to constraints, both of which can be evaluated through a stochastic simulation. To address specific features of a particular simulation---discrete or…
Optimization is a ubiquitous modeling tool and is often deployed in settings which repeatedly solve similar instances of the same problem. Amortized optimization methods use learning to predict the solutions to problems in these settings,…
Quantile is a popular performance measure for a stochastic system to evaluate its variability and risk. To reduce the risk, selecting the actions that minimize the tail quantiles of some loss distributions is typically of interest for…
The estimation of small probabilities of failure from computer simulations is a classical problem in engineering, and the Subset Simulation algorithm proposed by Au & Beck (Prob. Eng. Mech., 2001) has become one of the most popular method…
Tiering is an essential technique for building large-scale information retrieval systems. While the selection of documents for high priority tiers critically impacts the efficiency of tiering, past work focuses on optimizing it with respect…
This article proposes a new kriging that has a rational form. It is shown that the generalized least squares estimate of the mean from rational kriging is much more well behaved than that from ordinary kriging. Parameter estimation and…
Scientists and engineers commonly use simulation models to study real systems for which actual experimentation is costly, difficult, or impossible. Many simulations are stochastic in the sense that repeated runs with the same input…
Kriging-based surrogate models have become very popular during the last decades to approximate a computer code output from few simulations. In practical applications, it is very common to sequentially add new simulations to obtain more…
We consider performing simulation experiments in the presence of covariates. Here, covariates refer to some input information other than system designs to the simulation model that can also affect the system performance. To make decisions,…
We consider bi-objective ranking and selection problems, where the goal is to correctly identify the Pareto optimal solutions among a finite set of candidates for which the two objective outcomes have been observed with uncertainty (e.g.,…
Simulation models are widely used in practice to facilitate decision-making in a complex, dynamic and stochastic environment. But they are computationally expensive to execute and optimize, due to lack of analytical tractability. Simulation…
The goal of this tutorial is to introduce key models, algorithms, and open questions related to the use of optimization methods for solving problems arising in machine learning. It is written with an INFORMS audience in mind, specifically…
Simulation metamodeling refers to the construction of lower-fidelity models to represent input-output relations using few simulation runs. Stochastic kriging, which is based on Gaussian process, is a versatile and common technique for such…
The aim of the present paper is to develop a strategy for solving reliability-based design optimization (RBDO) problems that remains applicable when the performance models are expensive to evaluate. Starting with the premise that…
Automated vehicles have been under heavy developments in major auto and tech companies and are expected to release into market in the foreseeable future. However, the road safety of these vehicles remains a concern. One approach to evaluate…
Systems across different industries consist of interrelated processes and decisions in different time scales including long-time decisions and short-term decisions. To optimize such systems, the most effective approach is to formulate and…
We empirically evaluate the finite-time performance of several simulation-optimization algorithms on a testbed of problems with the goal of motivating further development of algorithms with strong finite-time performance. We investigate if…
This paper is motivated by a computer experiment conducted for optimizing residual stresses in the machining of metals. Although kriging is widely used in the analysis of computer experiments, it cannot be easily applied to model the…
Stochastic optimization of continuous objectives is at the heart of modern machine learning. However, many important problems are of discrete nature and often involve submodular objectives. We seek to unleash the power of stochastic…