Discrete stochastic optimization using linear interpolation

Honggang Wang, Bruce W. Schmeiser

Research output: Chapter in Book/Report/Conference proceedingConference contribution

16 Scopus citations


We consider discrete stochastic optimization problems where the objective function can only be estimated by a simulation oracle; the oracle is defined only at the discrete points. We propose a method using continuous search with simplex interpolation to solve a wide class of problems. A retrospective framework provides a sequence of deterministic approximating problems that can be solved using continuous optimization techniques that guarantee desirable convergence properties. Numerical experiments show that our method finds the optimal solutions for discrete stochastic optimization problems orders of magnitude faster than existing random search algorithms.

Original languageEnglish (US)
Title of host publicationProceedings of the 2008 Winter Simulation Conference, WSC 2008
Number of pages7
StatePublished - 2008
Externally publishedYes
Event2008 Winter Simulation Conference, WSC 2008 - Miami, FL, United States
Duration: Dec 7 2008Dec 10 2008

Publication series

NameProceedings - Winter Simulation Conference
ISSN (Print)0891-7736


Other2008 Winter Simulation Conference, WSC 2008
Country/TerritoryUnited States
CityMiami, FL

All Science Journal Classification (ASJC) codes

  • Software
  • Modeling and Simulation
  • Computer Science Applications


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