Robust Optimization in Simulation: Taguchi and Response Surface Methodology

CentER Discussion Paper Series No. 2008-69

41 Pages Posted: 28 Aug 2008

See all articles by Gabriella Dellino

Gabriella Dellino

Tilburg University - Tilburg University School of Economics and Management

Jack P. C. Kleijnen

Tilburg University, CentER

Carlo Meloni

Politecnico di Bari

Date Written: July 3, 2008

Abstract

Optimization of simulated systems is tackled by many methods, but most methods assume known environments. This article, however, develops a 'robust' methodology for uncertain environments. This methodology uses Taguchi's view of the uncertain world, but replaces his statistical techniques by Response Surface Methodology (RSM). George Box originated RSM, and Douglas Montgomery recently extended RSM to robust optimization of real (non-simulated) systems. We combine Taguchi's view with RSM for simulated systems, and apply the resulting methodology to classic Economic Order Quantity (EOQ) inventory models. Our results demonstrate that in general robust optimization requires order quantities that differ from the classic EOQ.

Keywords: Pareto frontier, bootstrap, Latin hypercube sampling

JEL Classification: C0, C1, C9

Suggested Citation

Dellino, Gabriella and Kleijnen, Jack P.C. and Meloni, Carlo, Robust Optimization in Simulation: Taguchi and Response Surface Methodology (July 3, 2008). CentER Discussion Paper Series No. 2008-69, Available at SSRN: https://ssrn.com/abstract=1260152 or http://dx.doi.org/10.2139/ssrn.1260152

Gabriella Dellino (Contact Author)

Tilburg University - Tilburg University School of Economics and Management ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands

Jack P.C. Kleijnen

Tilburg University, CentER ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands
+31 13 4662029 (Phone)
+31 13 4663377 (Fax)

HOME PAGE: http://https://sites.google.com/site/kleijnenjackpc/

Carlo Meloni

Politecnico di Bari ( email )

Bari, 70125
Italy

HOME PAGE: http://www.carlomeloni.com

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