Stochastic Trust-Region Response-Surface Method (STRONG) - A New Response-Surface Framework for Simulation Optimization

R surface methodology (RSM) is a widely used method for simulation optimization. Its strategy is to explore small subregions of the decision space in succession instead of attempting to explore the entire decision space in a single attempt. This method is especially suitable for complex stochastic systems where little knowledge is available. Although RSM is popular in practice, its current applications in simulation optimization treat simulation experiments the same as real experiments. However, the unique properties of simulation experiments make traditional RSM inappropriate in two important aspects: (1) It is not automated; human involvement is required at each step of the search process; (2) RSM is a heuristic procedure without convergence guarantee; the quality of the final solution cannot be quantified. We propose the stochastic trust-region response-surface method (STRONG) for simulation optimization in attempts to solve these problems. STRONG combines RSM with the classic trust-region method developed for deterministic optimization to eliminate the need for human intervention and to achieve the desired convergence properties. The numerical study shows that STRONG can outperform the existing methodologies, especially for problems that have grossly noisy response surfaces, and its computational advantage becomes more obvious when the dimension of the problem increases.