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The University of Southampton
CORMSIS Centre for Operational Research, Management Sciences and Information Systems

CORMSIS Seminar Event

Time:
16:00 - 17:00
Date:
26 March 2015
Venue:
Room 02/3043

For more information regarding this event, please email Christine Currie at Christine.Currie@soton.ac.uk .

Event details

Discrete Optimization via Simulation using Gaussian Markov Random Fields

Abstract:

We consider maximizing or minimizing the expected value of a stochastic performance measure that can be observed by running a dynamic, discrete-event simulation when the feasible solutions are defined by integer-ordered decision variables. Inventory sizing, call center staffing and manufacturing system design are common applications. Standard approaches are ranking and selection, which takes no advantage of spatial structure, and adaptive random search, which exploits it but in a heuristic way (“good solutions tend to be clustered”). Instead, we construct an optimization procedure built on discrete Gaussian Markov random fields (GMRFs). This enables computation of the expected improvement (EI) that could be obtained by running the simulation for any feasible solution. This computation can be numerically challenging; however, GMRFs are defined by their precision matrices which can be constructed to be sparse. Thus, we can use sparse matrix techniques to calculate expressions that involve the precision matrix. We also introduce a new EI criterion that incorporates the uncertainty in stochastic simulation by treating the value at the current optimal solution as a random variable.

Speaker information

Professor Barry L. Nelson,Lancaster University,is the Walter P. Murphy Professor in the Department of Industrial Engineering and Management Sciences at Northwestern University, and a Distinguished Visiting Scholar at Lancaster University in England. After receiving his Ph.D. in Industrial Engineering from Purdue University in 1983, he spent eleven years on the faculty of Ohio State before moving to Northwestern in 1995. Nelson has published over 100 research papers and three books, including Discrete-Event System Simulation (5th edition, Prentice Hall, 2010) which has been adopted by over 60 universities, and Foundations and Methods of Stochastic Simulation: A First Course (Springer, 2013). He is a Fellow of the Institute for Operations Research and the Management Sciences (INFORMS) and the Institute of Industrial Engineers (IIE). His teaching has been acknowledged by a Northwestern University Alumni Association Excellence in Teaching Award, a McCormick School of Engineering & Applied Science Teacher of the Year Award, and the IIE Operations Research Division Award for Excellence in the Teaching of Operations Research. Nelson has been given plenary talks and lectures all over the world, including his Omega Rho Distinguished Lecture in 2011 which can be viewed here: https://www.youtube.com/watch?v=5-Bae3F854s; and the 2013 Titans of Simulation Talk which can be viewed here: https://www.youtube.com/watch?v=0lxCRKpO6G0 . Detailed information, including a complete CV, may be found at his Northwestern web site www.iems.northwestern.edu/~nelsonb/

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