Optimization of Simulation via Quasi-Newton Methods

This paper discusses the application of quasi-Newton methods to optimization of simulation. Specifically, it describes a general methodology that combines response surface methodology and other optimization techniques with quasi-Newton methods. Using quasi-Newton methods in the vicinity of the optimum speeds up the convergence rate of response surface methodology, the gradient, and search methods. From the class of quasi-Newton methods, we recommend BFGS and Davidon's methods. These methods are effective without exact line searches. Two examples demonstrate the effectiveness of the proposed methodology. INFORMS Journal on Computing , ISSN 1091-9856, was published as ORSA Journal on Computing from 1989 to 1995 under ISSN 0899-1499.