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Speeding up COMPASS for high-dimensional discrete optimization via simulation

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<mark>Journal publication date</mark>11/2010
<mark>Journal</mark>Operations Research Letters
Issue number6
Volume38
Number of pages6
Pages (from-to)550-555
Publication StatusPublished
<mark>Original language</mark>English

Abstract

The convergent optimization via most promising area stochastic search (COMPASS) algorithm is a locally convergent random search algorithm for solving discrete optimization via simulation problems. COMPASS has drawn a significant amount of attention since its introduction. While the asymptotic convergence of COMPASS does not depend on the problem dimension, the finite-time performance of the algorithm often deteriorates as the dimension increases. In this paper, we investigate the reasons for this deterioration and propose a simple change to the solution-sampling scheme that significantly speeds up COMPASS for high-dimensional problems without affecting its convergence guarantee.