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Techniques for Monte Carlo Optimizing

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  • Arsham H.

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  • Arsham H., 1998. "Techniques for Monte Carlo Optimizing," Monte Carlo Methods and Applications, De Gruyter, vol. 4(3), pages 181-230, December.
    • Handle: RePEc:bpj:mcmeap:v:4:y:1998:i:3:p:181-230:n:2
    DOI: 10.1515/mcma.1998.4.3.181
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    References listed on IDEAS

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    1. Yunker, James M. & Tew, Jeffrey D., 1994. "Simulation optimization by genetic search," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 37(1), pages 17-28.
    2. Stephen M. Robinson, 1996. "Analysis of Sample-Path Optimization," Mathematics of Operations Research, INFORMS, vol. 21(3), pages 513-528, August.
    3. Douglas J. Morrice & Indranil R. Bardhan, 1995. "A Weighted Least Squares Approach to Computer Simulation Factor Screening," Operations Research, INFORMS, vol. 43(5), pages 792-806, October.
    4. Sigrún Andradöttir, 1996. "A Scaled Stochastic Approximation Algorithm," Management Science, INFORMS, vol. 42(4), pages 475-498, April.
    5. Russell R. Barton & John S. Ivey, Jr., 1996. "Nelder-Mead Simplex Modifications for Simulation Optimization," Management Science, INFORMS, vol. 42(7), pages 954-973, July.
    6. M. Hossein Safizadeh & Robert Signorile, 1994. "Optimization of Simulation via Quasi-Newton Methods," INFORMS Journal on Computing, INFORMS, vol. 6(4), pages 398-408, November.
    7. Joan M. Donohue & Ernest C. Houck & Raymond H. Myers, 1995. "Simulation Designs for the Estimation of Quadratic Response Surface Gradients in the Presence of Model Misspecification," Management Science, INFORMS, vol. 41(2), pages 244-262, February.
    8. Azadivar, Farhad & Lee, Young-Hae, 1988. "Optimization of discrete variable stochastic systems by computer simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 30(4), pages 331-345.
    9. Sigrún Andradóttir, 1996. "Optimization of the Transient and Steady-State Behavior of Discrete Event Systems," Management Science, INFORMS, vol. 42(5), pages 717-737, May.
    10. Gary Koehler, 1997. "New directions in genetic algorithm theory," Annals of Operations Research, Springer, vol. 75(0), pages 49-68, January.
    11. Cao, Xi-Ren, 1996. "Perturbation analysis of discrete event systems: Concepts, algorithms, and applications," European Journal of Operational Research, Elsevier, vol. 91(1), pages 1-13, May.
    12. Clark, Dean S., 1984. "Necessary and sufficient conditions for the Robbins-Monro method," Stochastic Processes and their Applications, Elsevier, vol. 17(2), pages 359-367, July.
    13. Futschik, A. & Pflug, G. Ch., 1997. "Optimal allocation of simulation experiments in discrete stochastic optimization and approximative algorithms," European Journal of Operational Research, Elsevier, vol. 101(2), pages 245-260, September.
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    Cited by:

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    2. Arsham Hossein, 2007. "Monte Carlo Techniques for Parametric Finite Multidimensional Integral Equations," Monte Carlo Methods and Applications, De Gruyter, vol. 13(3), pages 173-195, August.

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