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Self-adjusting the tolerance level in a fully sequential feasibility check procedure

Title
Self-adjusting the tolerance level in a fully sequential feasibility check procedure
Author
박철진
Keywords
Simulation; Stochastic constraints; Ranking and selection; Fully sequential algorithms; Multiple performance measures
Issue Date
2018-05
Publisher
ELSEVIER SCIENCE BV
Citation
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, v. 271, no. 2, page. 733-745
Abstract
We consider the problem of determining the feasibility of systems when the performance measures in stochastic constraints need to be evaluated via simulation. We develop a new procedure, namely the adaptive feasibility check procedure. Specifically, the procedure uses an existing feasibility check procedure iteratively as its subroutine with a decreasing sequence of tolerance levels. Our procedure is designed to return the set of strictly feasible systems with at least a prespecified probability. The validity and efficiency of the procedure are investigated through both analytical and experimental results. The procedure is also tested using numerical examples. (C) 2018 Elsevier B.V. All rights reserved.
URI
https://www.sciencedirect.com/science/article/abs/pii/S0377221718304569?via%3Dihubhttp://repository.hanyang.ac.kr/handle/20.500.11754/118579
ISSN
0377-2217; 1872-6860
DOI
10.1016/j.ejor.2018.05.045
Appears in Collections:
COLLEGE OF ENGINEERING[S](공과대학) > INDUSTRIAL ENGINEERING(산업공학과) > Articles
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