DocumentCode
2177905
Title
The mathematics of continuous-variable simulation optimization
Author
Kim, Sujin ; Henderson, Shane G.
Author_Institution
Dept. of Ind. & Syst. Eng., Nat. Univ. of Singapore, Singapore, Singapore
fYear
2008
fDate
7-10 Dec. 2008
Firstpage
122
Lastpage
132
Abstract
Continuous-variable simulation optimization problems are those optimization problems where the objective function is computed through stochastic simulation and the decision variables are continuous. We discuss verifiable conditions under which the objective function is continuous or differentiable, and outline some key properties of two classes of methods for solving such problems, namely sample-average approximation and stochastic approximation.
Keywords
approximation theory; optimisation; stochastic processes; continuous-variable simulation optimization; decision variables; objective function; sample-average approximation; stochastic approximation; stochastic simulation; Analytical models; Approximation algorithms; Computational modeling; Euclidean distance; Mathematics; Operations research; Optimization methods; Stochastic processes; Sufficient conditions; Systems engineering and theory;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference, 2008. WSC 2008. Winter
Conference_Location
Austin, TX
Print_ISBN
978-1-4244-2707-9
Electronic_ISBN
978-1-4244-2708-6
Type
conf
DOI
10.1109/WSC.2008.4736062
Filename
4736062
Link To Document