The Simulation Optimization Algorithm Based on the Ito Process

A new simulation optimization algorithm, named ITO Algorithm, is proposed in this paper. The ITO algorithm is inspired by the Brown motion of particles in liquid. And many famous scientists have studied the particles motion and proposed independence increment theory. The ITO algorithm is based on the Ito stochastic process. And the experiments show its convergence speed is fast. In this paper the ITO algorithm is applied in the Stochastic Inventory System, and the experiment results show that the ITO algorithm can find the best solutions for the Inventory models.