Abstract This article presents a novel combination of robust optimization developed in mathematical programming, and robust parameter design developed in statistical quality control. Robust parameter design uses metamodels estimated from experiments with both controllable and environmental...

Simulation Optimization (SO) provides a structured approach to the system design and configuration when analytical expressions for input/output relationships are unavailable. Several excellent surveys have been written on this topic. Each survey concentrates on only few classification criteria....

Linking the statistic and the machine learning literature, we provide new general results on the convergence of stochastic approximation schemes and inexact Newton methods. Building on these results, we put forward a new optimization scheme that we call generalized inexact Newton method (GINM)....

This paper deals with a system where batch arrivals wait in a station until a server (a train) is available, at which moment it services all customers in waiting. This is an example of a bulk server, which has many applications in public transportation, telecommunications, computer resource...

Real Options for Project Schedules (ROPS) has three recursive sampling/optimization shells. An outer Adaptive Simulated Annealing (ASA) optimization shell optimizes parameters of strategic Plans containing multiple Projects containing ordered Tasks. A middle shell samples probability...

Due to the few computing resource planning options currently available in Grid computing, capacity planning, an old discipline for analyzing resource purchases, is simple to perform. However, once a commercial computing Grid is established, which provides many different resource types at...

This paper deals with a system where batch arrivals wait in a station until a server (a train) is available, at which moment it services all customers in waiting. This is an example of a bulk server, which has many applications in public transportation, telecommunications, computer resource...

La Distribución Hiperbólica Generalizada ha sido usada ampliamente como una alternativa ante distribuciones de colas livianas que no se ajustan a los hechos estilizados presentes en los activos financieros, y por su utilidad tanto en la modelación de activos como en la valoración de medidas...

In this paper, we present an agent-based simulation system that allows modeling the interactions between software buyers and vendors in a software market. The market offers Software-as-a-Service (SaaS) and perpetual software (PS) licenses under different pricing schemes. Four dynamic pricing...

This paper derives a novel procedure for testing the Karush-Kuhn-Tucker (KKT) first-order optimality conditions in models with multiple random responses.Such models arise in simulation-based optimization with multivariate outputs.This paper focuses on expensive simulations, which have small...