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[11/17]Maximizing Efficiency for Simulation-based Optimization and Multi-fidelity Optimization



Maximizing Efficiency for Simulation-based Optimization and Multi-fidelity Optimization

报告人  Professor Chun-Hung Chen

Dept. of Systems Engineering & Operations Research

George Mason University, USA


主持人: 宋洁 特聘研究员







Simulation and optimization are two popular tools in industrial engineering and engineering management. Stochastic simulation is powerful for analyzing modern complex systems. Detailed dynamics of complex, stochastic systems can be modeled in simulation. This capability complements the inherent limitation of traditional optimization, so the combining use of simulation and optimization is growing in popularity.  This seminar discusses what computational issues we have to face such a combination, and presents our new development to address these issues.  A key component of our methodologies is a new technique called Optimal Computing Budget Allocation (OCBA) initially developed by the speaker, which intends to maximize the overall simulation or sampling efficiency for finding an optimal decision. OCBA also provides a good solution to the well-known exploration (search) vs. exploitation (estimation) tradeoff. Further, OCBA can optimally allocate samples for partition-based random search optimization algorithms. Finally, we will present an innovative way of utilizing the lower-fidelity approximation model to further enhance simulation optimization efficiecny.


Chun-Hung Chen received his Ph.D. degree in Engineering Sciences from Harvard University in 1994. He is currently a Professor at George Mason University. Dr. Chen was an Assistant Professor of Systems Engineering at the University of Pennsylvania before joining GMU. He was also affiliated with National Taiwan University from 2008-14. Sponsored by NSF, NIH, DOE, NASA, MDA, Air Force, and FAA, he has worked on the development of very efficient methodology for stochastic simulation optimization and its applications. Dr. Chen has served as a department editor for IIE Transactions, Associate Editor for IEEE Transactions on Automation Science and Engineering, Associate Editor for IEEE Transactions on Automatic Control, Area Editor for Asia-Pacific Journal of Operational Research, Area Editor for Journal of Simulation Modeling Practice and Theory, and Area Editor for International Journal of Simulation and Process Modeling. Dr. Chen is the author of two books, including the popular book -- Stochastic Simulation Optimization: An Optimal Computing Budget Allocation.