简单记录一下关于仿真优化的一些知识点和思考。主要基于:Handbook of Simulation Optimization, Michael Fu
Table of Contents
Three fundamental type of errors:
Different scenarios depending on the solution space size:
Globally Convergent Adaptive Random Search
Locally Convergent Adaptive Random Search
Overview
这是本书的overview 实际上也可以看做是这一field的overview.
- SimuOpt : optimize, when the obj function
cannot be computed directly, but can be simulated, with noise (focus on stochastic simulation environment).
一种分类方式:Discrete vs Continuous
- Discrete Optimization
- Solution space is small -> Ranking & Selection (based on statistics or simulation budget allocation)
- Solution space is large be finite -> Ordinal Optimization (no need to estimate accurately every candidate, only need to know their order. Much faster convergence (exponential))
- Solution space is countably infinite -> Random Search (globally or locally convergent)
- Continuous Opt
- RSM (Response Surface Methodology). Also has constraint considerations and robust variants
- Stochastic Approximation (RM, KW, simutaneous perturbation stochastic approximation for high-dim pbs)
- SAA (Sample Average Approximation) with consideration on stochastic constraints.
- Random Search, focus on estimation and on the search procedure. Model-based RS is newer class, assuming probability matrix is known.
Since stochasticity is the keyword, some base knowledge is important for DO as well as for CO.
- Statistics
- How to estimate a solution
- How to know soluiton x is better than y
- How to know to what extent we are covering the optimal solution in the search
- How many replications de we need...
- Hypothesis testing
- Stochastic constraints
- Variance reduction
- ...
Discrete Optimization
Three fundamental type of errors:
- The optimial solution is never simulated (about search)
- The opt that was simulated is not selected (about estimation)
- The one selected is not well estimated (about estimation)
Optimality Conditions
- are needed to 1) ensure the correctness of the algo; 2) define the stopping criteria
- for constrain free non-linear optimization, we stop at a settle point
- for integer optimization, we check the gap between LB and UB
- here for SBO, it's difficult because:
- the cost of solution g(x) can only be estimated
- no structural info can be used to prune solution zone
- complete enumeration of the solution space is often computationally intractable