Abstract

We survey some randomized search methods for global optimization that are based on sampling from an underlying probability distribution “model” on the solution space.  In this approach, the probability model is updated iteratively after evaluating the performance of the samples at each iteration.  Such model-based methods include estimation of distribution algorithms (EDAs), the cross-entropy (CE) method, and the recently proposed model reference adaptive search (MRAS).  This is based on joint work with Jiaqiao Hu and Steve Marcus.

演讲人简历：Michael C. Fu is Tyser Professor of Management Science in the Robert H. Smith School of Business, with a joint appointment in the Institute for Systems Research and affiliate faculty appointment in the Department of Electrical and Computer Engineering, all at the University of Maryland.  He received degrees in mathematics and EE/CS from MIT, and a Ph.D. in applied mathematics from Harvard University.  His research interests include simulation optimization and applied probability, with applications in supply chain management and financial engineering.  He teaches courses in applied probability, stochastic processes, simulation, computational finance, and supply chain/operations management, and in 1995 was awarded the Maryland Business School's Allen J.\ Krowe Award for Teaching Excellence.  He was named a University of Maryland Distinguished Scholar-Teacher for 2004--2005.  He has published four books:  Conditional Monte Carlo:  Gradient Estimation and Optimization Applications (co-author J.Q. Hu), which received the INFORMS College on Simulation Outstanding Publication Award in 1998; Simulation-based Algorithms for Markov Decision Processes (co-authors H.S. Chang, J. Hu, S.I. Marcus);  Perspectives in Operations Research (co-editors F.B. Alt, B.L. Golden);  and Advances in Mathematical Finance (co-editors R.A. Jarrow, J.-Y. Yen, R.J. Elliott).  He currently serves as Stochastic Models and Simulation Department Editor for Management Science, serves as an Associate Editor for Mathematics of Operations Research, served as Simulation Area Editor of Operations Research 2000--2005, and also served on the editorial boards of INFORMS Journal on Computing, IIE Transactions, and Production and Operations Management.