Statistical testing of optimality conditions in multiresponse simulation-based optimization

@article{Bettonvil2009StatisticalTO,
  title={Statistical testing of optimality conditions in multiresponse simulation-based optimization},
  author={Bert Bettonvil and Enrique del Castillo and Jack P. C. Kleijnen},
  journal={European Journal of Operational Research},
  year={2009},
  volume={199},
  pages={448-458}
}
This paper derives a novel procedure for testing the Karush-Kuhn-Tucker (KKT) first-order optimality conditions in models with multiple random responses. Such models arise in simulation-based optimization with multivariate outputs. This paper focuses on ‘expensive’ simulations, which have small sample sizes. The paper estimates the gradients (in the KKT conditions) through low-order polynomials, fitted locally. These polynomials are estimated using Ordinary Least Squares (OLS), which also… CONTINUE READING
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