Sharif Digital Repository

This paper presents artificial neural network (ANN) meta-models for expensive continuous simulation optimization (SO) with stochastic constraints. These meta-models are used within a sequential experimental design to approximate the objective function and the stochastic constraints. To capture the non-linear nature of the ANN, the SO problem is iteratively approximated via non-linear programming problems whose (near) optimal solutions obtain estimates of the global optima. Following the optimization step, a cutting plane-relaxation scheme is invoked to drop uninformative estimates of the global optima from the experimental design. This approximation is iterated until a terminating condition...