R-SPLINE swMATH ID: 29802 Software Authors: Wang, Honggang; Pasupathy, Raghu; Schmeiser, Bruce W. Description: Integer-ordered simulation optimization using R-SPLINE: retrospective search with piecewise-linear interpolation and neighborhood enumeration. We consider simulation-optimization (SO) models where the decision variables are integer ordered and the objective function is defined implicitly via a simulation oracle, which for any feasible solution can be called to compute a point estimate of the objective-function value. We develop R-SPLINE – a Retrospective-search algorithm that alternates between a continuous Search using Piecewise-Linear Interpolation and a discrete Neighborhood Enumeration, to asymptotically identify a local minimum. R-SPLINE appears to be among the first few gradient-based search algorithms tailored for solving integer-ordered local SO problems. In addition to proving the almost-sure convergence of R-SPLINE’s iterates to the set of local minima, we demonstrate that the probability of R-SPLINE returning a solution outside the set of true local minima decays exponentially in a certain precise sense. R-SPLINE, with no parameter tuning, compares favorably with popular existing algorithms. Homepage: https://dl.acm.org/citation.cfm?doid=2499913.2499916 Keywords: simulation optimization; retrospective search algorithm; piecewise-linear interpolation; discrete neighborhood enumeration; local minima Related Software: COMPASS; EGO; SimOpt; ASTRO-DF; PyMOSO; Tabu search; DiceOptim; DiceKriging; MultiMin; Scatter Search; SNOBFIT; CMA-ES; NOMADm; VBASim; RngStreams; PyPRS; GitHub; MRG32k3a; RngSteam; OptQuest Cited in: 12 Publications Standard Articles 1 Publication describing the Software, including 1 Publication in zbMATH Year Integer-ordered simulation optimization using R-SPLINE: retrospective search with piecewise-linear interpolation and neighborhood enumeration. Zbl 1386.65167Wang, Honggang; Pasupathy, Raghu; Schmeiser, Bruce W. 2013 all top 5 Cited by 22 Authors 2 Amaran, Satyajith 2 Bury, Scott J. 2 Cooper, Kyle 2 Hunter, Susan R. 2 Pasupathy, Raghu 2 Sahinidis, Nikolaos V. 2 Sharda, Bikram 2 Wang, Honggang 1 Andradóttir, Sigrún 1 Chick, Stephen E. 1 Frazier, Peter I. 1 Hu, Liujia 1 Kim, Seong-Hee 1 Lam, Henry 1 Nagaraj, Kalyani 1 Ng, Szu Hui 1 Park, Chuljin 1 Pedrielli, Giulia 1 Schmeiser, Bruce Wayne 1 Song, Yongjia 1 Wang, Songhao 1 Xie, Jing all top 5 Cited in 8 Serials 3 Operations Research 3 INFORMS Journal on Computing 1 Computers & Operations Research 1 Annals of Operations Research 1 European Journal of Operational Research 1 SIAM Journal on Optimization 1 ACM Transactions on Modeling and Computer Simulation 1 4OR Cited in 2 Fields 11 Operations research, mathematical programming (90-XX) 2 Numerical analysis (65-XX) Citations by Year