Cited By
View all- Deng GFerris M(2009)Variable-Number Sample-Path OptimizationMathematical Programming: Series A and B10.5555/3113600.3113770117:1-2(81-109)Online publication date: 1-Mar-2009
A practical approach to sample-path simulation optimization
Abstract
We propose solving continuous parametric simulation optimizations using a deterministic nonlinear optimization algorithm and sample-path simulations. The optimization problem is written in a modeling language with a simulation module accessed with an external function call. Since we allow no changes to the simulation code at all, we propose using a quadratic approximation of the simulation function to obtain derivatives. Results on three different queueing models are presented that show our method to be effective on a variety of practical problems.
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- A practical approach to sample-path simulation optimization
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Published In
December 2000
2014 pages
ISBN:0780365828
- Conference Chairs:
- Paul A. Fishwick,
- Keeborn Kang,
- Jeffrey A. Joines,
- Russell R. Barton
Sponsors
- IIE: Institute of Industrial Engineers
- ASA: American Statistical Association
- SIGSIM: ACM Special Interest Group on Simulation and Modeling
- IEEE/CS: Institute of Electrical and Electronics Engineers/Computer Society
- NIST: National Institute of Standards and Technology
- INFORMS-CS: Institute for Operations Research and the Management Sciences-College on Simulation
- IEEE/SMCS: Institute of Electrical and Electronics Engineers/Systems, Man, and Cybernetics Society
- SCS: The Society for Computer Simulation International
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Society for Computer Simulation International
San Diego, CA, United States
Publication History
Published: 10 December 2000
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View all- Deng GFerris M(2009)Variable-Number Sample-Path OptimizationMathematical Programming: Series A and B10.5555/3113600.3113770117:1-2(81-109)Online publication date: 1-Mar-2009
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