Efficient multi-fidelity simulation optimization

Jie Xu, Si Zhang, Edward Huang, Chun Hung Chen, Loo Hay Lee, Nurcin Celik

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

23 Scopus citations

Abstract

Simulation models of different fidelity levels are often available for a complex system. High-fidelity simulations are accurate but time-consuming. Therefore, they can only be applied to a small number of solutions. Low-fidelity simulations are faster and can evaluate a large number of solutions. But their results may contain significant bias and variability. We propose an Multi-fidelity Optimization with Ordinal Transformation and Optimal Sampling (MO<sup>2</sup>TOS) framework to exploit the benefits of high- and low-fidelity simulations to efficiently identify a (near) optimal solution. MO2TOS uses low-fidelity simulations for all solutions and then assigns a fixed budget of high-fidelity simulations to solutions based on low-fidelity simulation results. We show the benefits of MO<sup>2</sup>TOS via theoretical analysis and numerical experiments with deterministic simulations and stochastic simulations where noise is negligible with sufficient replications. We compare MO<sup>2</sup>TOS to Equal Allocation (EA) and Optimal Computing Budget Allocation (OCBA). MO<sup>2</sup>TOS consistently outperforms both EA and OCBA.

Original languageEnglish (US)
Title of host publicationProceedings - Winter Simulation Conference
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages3940-3951
Number of pages12
Volume2015-January
ISBN (Print)9781479974863
DOIs
StatePublished - Jan 23 2015
Event2014 Winter Simulation Conference, WSC 2014 - Savannah, United States
Duration: Dec 7 2014Dec 10 2014

Other

Other2014 Winter Simulation Conference, WSC 2014
CountryUnited States
CitySavannah
Period12/7/1412/10/14

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ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications

Cite this

Xu, J., Zhang, S., Huang, E., Chen, C. H., Lee, L. H., & Celik, N. (2015). Efficient multi-fidelity simulation optimization. In Proceedings - Winter Simulation Conference (Vol. 2015-January, pp. 3940-3951). [7020219] Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/WSC.2014.7020219