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Genetic-algorithm-based simulation optimization considering a single stochastic constraint

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  • Tsai, Shing Chih
  • Fu, Sheng Yang

Abstract

In this paper, we consider the discrete optimization via simulation problem with a single stochastic constraint. We present two genetic-algorithm-based algorithms that adopt different sampling rules and searching mechanisms, and thus deliver different statistical guarantees. The first algorithm offers global convergence as the simulation effort goes to infinity. However, the algorithm’s finite-time efficiency may be sacrificed to maintain this theoretically appealing property. We therefore propose the second heuristic algorithm that can take advantage of the desirable mechanics of genetic algorithm, and might be better able to find near-optimal solutions in a reasonable amount of time. Empirical studies are performed to compare the efficiency of the proposed algorithms with other existing ones.

Suggested Citation

  • Tsai, Shing Chih & Fu, Sheng Yang, 2014. "Genetic-algorithm-based simulation optimization considering a single stochastic constraint," European Journal of Operational Research, Elsevier, vol. 236(1), pages 113-125.
    • Handle: RePEc:eee:ejores:v:236:y:2014:i:1:p:113-125
    DOI: 10.1016/j.ejor.2013.11.034
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