Optimization via simulation using Gaussian Process-based Search

@article{Sun2011OptimizationVS,
  title={Optimization via simulation using Gaussian Process-based Search},
  author={Lihua Sun and L. Jeff Hong and Zhaolin Hu},
  journal={Proceedings of the 2011 Winter Simulation Conference (WSC)},
  year={2011},
  pages={4134-4145}
}
Random search algorithms are often used to solve optimization-via-simulation (OvS) problems. The most critical component of a random search algorithm is the sampling distribution that is used to guide the allocation of the search effort. A good sampling distribution can balance the tradeoff between the effort used in searching around the current best solution (which is called exploitation) and the effort used in searching largely unknown regions (which is called exploration). However, most of… CONTINUE READING
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