How to optimize discrete-event systems from a single sample path by the score function method
R Rubinstein - Annals of Operations Research, 1990 - Springer
R Rubinstein
Annals of Operations Research, 1990•SpringerWe present a method for deriving the optimal solution of a class of mathematical
programming problems, associated with discrete-event systems and in particular with
queueing models, while using a single sample path (single simulation experiment) from the
underlying process. Our method, called the score function method, is based on probability
measure transformation derived from the efficient score process and generating statistical
counterparts to the conventional deterministic optimization procedures (eg Lagrange …
programming problems, associated with discrete-event systems and in particular with
queueing models, while using a single sample path (single simulation experiment) from the
underlying process. Our method, called the score function method, is based on probability
measure transformation derived from the efficient score process and generating statistical
counterparts to the conventional deterministic optimization procedures (eg Lagrange …
Abstract
We present a method for deriving theoptimal solution of a class of mathematical programming problems, associated with discrete-event systems and in particular with queueing models, while using asingle sample path (single simulation experiment) from the underlying process. Our method, called thescore function method, is based on probability measure transformation derived from the efficient score process and generating statistical counterparts to the conventional deterministic optimization procedures (e.g. Lagrange multipliers, penalty functions, etc.). Applications of our method to optimization of various discrete-event systems are presented, and numerical results are given.
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