Response surface computation via simulation in the presence of convexity

Eunji Lim
2010 Proceedings of the 2010 Winter Simulation Conference  
We consider the problem of computing a response surface when the underlying function is known to be convex. We introduce a methodology that incorporates the convexity into the function estimator. The proposed response surface estimator is formulated as a finite dimensional quadratic program and exhibits convergence properties as a global approximation to the true function. Numerical results are presented to illustrate the convergence behavior of the proposed estimator and its potential
more » ... potential application to simulation optimization. 1246 978-1-4244-9864-2/10/$26.00 ©2010 IEEE
doi:10.1109/wsc.2010.5679068 dblp:conf/wsc/Lim10 fatcat:do27sdxlkbefhd6vogwcu3aebe