2022 Optimization Days

HEC Montréal, Québec, Canada, 16 — 18 May 2022

Schedule Authors My Schedule

MB1 - Tutorial II

May 16, 2022 03:30 PM – 05:10 PM

Location: Walter Capital (blue) Previously BDC

Chaired by Sara Séguin

1 Presentation

  • 03:30 PM - 05:10 PM

    Surrogate Modeling for High-Dimensional Simulation-Based Optimization Problems

    • Carolina Osorio, presenter, HEC Montréal & GERAD

    Motivated by challenges that arise in tackling high-dimensional, continuous and discrete, stochastic simulation-based optimization problems for urban mobility, we review past work on the use of analytical surrogate modeling. We discuss the use of surrogates to design exploitation techniques, exploration techniques, and combined exploitation-exploration techniques. Discussed topics include metamodeling, sampling in high-dimensional spaces, and Bayesian optimization. We present their application for both model calibration and traffic management problems with case studies of major metropolitan areas, including Singapore and New York City.