A revised simplex search procedure for stochastic simulation response-surface optimization
David G. Humphrey, James R. Wilson · 1998
We develop a variant of the... this paper consists of a three-phase application of the NM method in which: (a) the ending values for one phase become the starting values for the next phase; (b) the size of the initial simplex (respectively, the shrink coefficient) decreases geometrically (respectively, increases linearly) over successive phases; and (c) the final estimated optimum is the best of the ending values for the three phases. To compare RSS versus the NM procedure and RS9 (a simplex search procedure recently proposed by Barton and Ivey), we summarize a simulation study based on separate factorial experiments and follow-up multiple-comparisons tests for four selected performance measures computed on each of six test problems, with three levels of problem dimensionality and noise variability used in each problem. The experimental results provide substantial evidence of RSS's improved performance with only marginally higher computational effort.