Evolutionary algorithm assisted by surrogate model in the framework of ordinal optimization and optimal computing budget allocation

Abstract

This work proposes an evolutionary algorithm (EA) that is assisted by a surrogate model in the framework of ordinal optimization (OO) and optimal computing budget allocation (OCBA) for use in solving the real-time combinatorial stochastic simulation optimization problem with a huge discrete solution space. For real-time applications, an off-line trained artificial neural network (ANN) is utilized as the surrogate model. EA, assisted by the trained ANN, is applied to the problem of interest to obtain a subset of good enough solutions, S. Also for real-time application, the OCBA technique is used to find the best solution in S, and this is the obtained good enough solution. Most importantly, a systematic procedure is provided for evaluating the performance of the proposed algorithm by estimating the distance of the obtained good enough solution from the optimal solution. The proposed algorithm is applied to a hotel booking limit (HBL) problem, which is a combinatorial stochastic simulation optimization problem. Extensive simulations are performed to demonstrate the computational efficiency of the proposed algorithm and the systematic performance evaluation procedure is applied to the HBL problem to quantify the goodness of the obtained good enough solution.