A simulated annealing with ranking and selection for stochastic optimization

Mahmoud H. Alrefaei, Ali H. Diabat

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We consider the problem of stochastic optimization, where the objective function values are not available and need to be simulated to get their estimates. When the function values are available one can use the simulated annealing algorithm. In this paper, we modify an algorithm that uses the hill climbing feature of simulated annealing with fixed temperature to search the feasible solution set. The proposed algorithm uses indifference zone approach of ranking and selection method to compare the current optimal solution and the potential solution that guarantee the optimal solution with a pre specified level of confidence. The algorithm is tested on a (s, S) inventory problem and compared to other competing algorithm. The numerical results show that the proposed method outperforms the competing method and indeed locate the optimal solution quickly.

Original languageEnglish (US)
Title of host publicationKey Engineering Materials II
Pages1335-1340
Number of pages6
DOIs
StatePublished - Apr 2 2012
Event2012 2nd International Conference on Key Engineering Materials, ICKEM 2012 - Singapore, Singapore
Duration: Feb 26 2012Feb 28 2012

Publication series

NameAdvanced Materials Research
Volume488-489
ISSN (Print)1022-6680

Other

Other2012 2nd International Conference on Key Engineering Materials, ICKEM 2012
CountrySingapore
CitySingapore
Period2/26/122/28/12

    Fingerprint

Keywords

  • Ranking and selection
  • Simulated annealing
  • Stochastic optimization

ASJC Scopus subject areas

  • Engineering(all)

Cite this

Alrefaei, M. H., & Diabat, A. H. (2012). A simulated annealing with ranking and selection for stochastic optimization. In Key Engineering Materials II (pp. 1335-1340). (Advanced Materials Research; Vol. 488-489). https://doi.org/10.4028/www.scientific.net/AMR.488-489.1335