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
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;
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
DOI :
10.1109/WSC.2008.4736062
