Why Methods for Optimization Problems with Time-Consuming Function Evaluations and Integer Variables Should Use Global Approximation Models

CentER Discussion Paper Series No. 2006-04

18 Pages Posted: 9 Mar 2006

See all articles by Lonneke Driessen

Lonneke Driessen

Centre for Quantitative Methods

R.C.M. Brekelmans

Tilburg University - Tilburg University School of Economics and Management

Marloes Gerichhausen

Tilburg University - Department of Econometrics & Operations Research

Herbert Hamers

Tilburg University - Center for Economic Research (CentER); Tilburg University - Department of Econometrics & Operations Research

Dick den Hertog

Tilburg University - Department of Econometrics & Operations Research

Date Written: January 2006

Abstract

This paper advocates the use of methods based on global approximation models for optimization problems with time-consuming function evaluations and integer variables.We show that methods based on local approximations may lead to the integer rounding of the optimal solution of the continuous problem, and even to worse solutions.Then we discuss a method based on global approximations.Test results show that such a method performs well, both for theoretical and practical examples, without suffering the disadvantages of methods based on local approximations.

Keywords: approximation models, black-box optimization, integer optimization

JEL Classification: C61

Suggested Citation

Driessen, Lonneke and Brekelmans, R.C.M. and Gerichhausen, Marloes and Hamers, Herbert and den Hertog, Dick, Why Methods for Optimization Problems with Time-Consuming Function Evaluations and Integer Variables Should Use Global Approximation Models (January 2006). Available at SSRN: https://ssrn.com/abstract=888668 or http://dx.doi.org/10.2139/ssrn.888668

Lonneke Driessen

Centre for Quantitative Methods ( email )

P.O. Box 414
5600 AK Eindhoven
Netherlands

R.C.M. Brekelmans

Tilburg University - Tilburg University School of Economics and Management ( email )

P.O. Box 90153
B 1029
5000 LE Tilburg
Netherlands
+31 13 466 8234 (Phone)

Marloes Gerichhausen

Tilburg University - Department of Econometrics & Operations Research ( email )

Tilburg, 5000 LE
Netherlands

Herbert Hamers

Tilburg University - Center for Economic Research (CentER) ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands
+31 13 4666 2660 (Phone)

Tilburg University - Department of Econometrics & Operations Research

Tilburg, 5000 LE
Netherlands

Dick Den Hertog (Contact Author)

Tilburg University - Department of Econometrics & Operations Research ( email )

Tilburg, 5000 LE
Netherlands

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