Optimization of static simulation models by the score function method
In this paper we show how an optimization problem involving the expected performance of a stochastic system can be estimated using a single simulation experiment. The proposed method is based on a probability measure transformation and generation of a stochastic counterpart to the deterministic optimization program. Statistical properties of the derived estimators are discussed and examples are given.
Year of publication: |
1990
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Authors: | Rubinstein, Reuven Y. ; Shapiro, Alexander |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 32.1990, 4, p. 373-392
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Publisher: |
Elsevier |
Saved in:
Online Resource
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