A simulated annealing technique for multi-objective simulation optimization

Abstract

In this paper, we present a simulated annealing algorithm for solving multi-objective simulation 
optimization problems. The algorithm is based on the idea of simulated annealing with constant 
temperature, and uses a rule for accepting a candidate solution that depends on the individual 
estimated objective function values. The algorithm is shown to converge almost surely to an 
optimal solution. It is applied to a multi-objective inventory problem; the numerical results show 
that the algorithm converges rapidly. (C) 2009 Elsevier Inc. All rights reserved.