Diagnostic Tools for Evaluating and Comparing Simulation- Optimization Algorithms

Simulation optimization involves optimizing some objective function that can only be estimated via stochastic simulation. Many important problems can be profitably viewed within this framework. Whereas many solvers-implementations of simulation optimization algorithms-exist or are in development, comparisons among solvers are not standardized and are often limited in scope. Such comparisons help advance solver development, clarify the relative performance of solvers, and identify classes of problems that defy efficient solution, among many other uses. We develop performance measures and plots, and estimators thereof, to evaluate and compare solvers and diagnose their strengths and weaknesses on a testbed of simulation-optimization problems. We explain the need for two-level simulation in this context and provide supporting convergence theory. We also describe how to use bootstrapping to obtain error estimates for the estimators.