The sample average approximation method for multi-objective stochastic optimization

• Published in: Proceedings of the 2011 Winter Simulation Conference (WSC) pp. 4021 - 4032
• Main Authors: Sujin Kim, Jong-hyun Ryu
• Format: Conference Proceeding
• Language: English
• Published: IEEE 01.12.2011
• Subjects: Approximation algorithms; Approximation methods; Convergence; Pareto optimization; Search methods; Vectors

In this paper, we consider black-box problems where the analytic forms of the objective functions are not available, and the values can only be estimated by output responses from computationally expensive simulations. We apply the sample average approximation method to multi-objective stochastic opt...