We develop a framework for automated optimization of stochastic simulation models using Response Surface Methodology. The framework is especially intended for simulation models where the calculation of the corresponding stochastic response function is very expensive or time-consuming. Response Surface Methodology is frequently used for the optimization of stochastic simulation models in a non-automated fashion. In scientific applications there is a clear need for a standardized algorithm based on Response Surface Methodology. In addition, an automated algorithm is less time-consuming, since there is no need to interfere in the optimization process. In our framework for automated optimization we describe all choices that have to be made in constructing such an algorithm.

Econometric Institute Research Papers
Erasmus School of Economics

Neddermeijer, H. G., van Oortmarssen, G., Piersma, N., & Dekker, R. (2000). A framework for response surface methodology for simulation optimization (No. EI 2000-14/A). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/1647