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

29 Scopus citations


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 (MO2TOS) 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 MO2TOS via theoretical analysis and numerical experiments with deterministic simulations and stochastic simulations where noise is negligible with sufficient replications. We compare MO2TOS to Equal Allocation (EA) and Optimal Computing Budget Allocation (OCBA). MO2TOS consistently outperforms both EA and OCBA.

Original languageEnglish (US)
Title of host publicationProceedings of the 2014 Winter Simulation Conference, WSC 2014
EditorsAndreas Tolk, Levent Yilmaz, Saikou Y. Diallo, Ilya O. Ryzhov
PublisherInstitute of Electrical and Electronics Engineers Inc.
Number of pages12
ISBN (Electronic)9781479974863
StatePublished - Jan 23 2015
Event2014 Winter Simulation Conference, WSC 2014 - Savannah, United States
Duration: Dec 7 2014Dec 10 2014

Publication series

NameProceedings - Winter Simulation Conference
ISSN (Print)0891-7736


Other2014 Winter Simulation Conference, WSC 2014
Country/TerritoryUnited States

ASJC Scopus subject areas

  • Software
  • Modeling and Simulation
  • Computer Science Applications


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