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A stochastic quasi-Newton method for simulation response optimization

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  • Kao, Chiang
  • Chen, Shih-Pin

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  • Kao, Chiang & Chen, Shih-Pin, 2006. "A stochastic quasi-Newton method for simulation response optimization," European Journal of Operational Research, Elsevier, vol. 173(1), pages 30-46, August.
    • Handle: RePEc:eee:ejores:v:173:y:2006:i:1:p:30-46
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    References listed on IDEAS

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    1. 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.
    2. Pierre L'Ecuyer & Peter W. Glynn, 1994. "Stochastic Optimization by Simulation: Convergence Proofs for the GI/G/1 Queue in Steady-State," Management Science, INFORMS, vol. 40(11), pages 1562-1578, November.
    3. Pierre L'Ecuyer & Nataly Giroux & Peter W. Glynn, 1994. "Stochastic Optimization by Simulation: Numerical Experiments with the M/M/1 Queue in Steady-State," Management Science, INFORMS, vol. 40(10), pages 1245-1261, October.
    4. Stephen M. Robinson, 1996. "Analysis of Sample-Path Optimization," Mathematics of Operations Research, INFORMS, vol. 21(3), pages 513-528, August.
    5. Sigrún Andradöttir, 1996. "A Scaled Stochastic Approximation Algorithm," Management Science, INFORMS, vol. 42(4), pages 475-498, April.
    6. 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.
    7. Averill M. Law & John S. Carson, 1979. "A Sequential Procedure for Determining the Length of a Steady-State Simulation," Operations Research, INFORMS, vol. 27(5), pages 1011-1025, October.
    8. Sigrún Andradóttir, 1995. "A Stochastic Approximation Algorithm with Varying Bounds," Operations Research, INFORMS, vol. 43(6), pages 1037-1048, December.
    9. Gül Gürkan, 2000. "Simulation optimization of buffer allocations in production lines with unreliable machines," Annals of Operations Research, Springer, vol. 93(1), pages 177-216, January.
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    Cited by:

    1. Bettonvil, B.W.M. & Del Castillo, E. & Kleijnen, J.P.C., 2007. "Statistical Testing of Optimality Conditions in Multiresponse Simulation-based Optimization (Revision of 2005-81)," Other publications TiSEM 3e563d88-0029-47f6-a66b-e, Tilburg University, School of Economics and Management.
    2. Bettonvil, Bert & del Castillo, Enrique & Kleijnen, Jack P.C., 2009. "Statistical testing of optimality conditions in multiresponse simulation-based optimization," European Journal of Operational Research, Elsevier, vol. 199(2), pages 448-458, December.
    3. K. Lakshmanan & Shalabh Bhatnagar, 2017. "Quasi-Newton smoothed functional algorithms for unconstrained and constrained simulation optimization," Computational Optimization and Applications, Springer, vol. 66(3), pages 533-556, April.
    4. Chen, Shih-Pin, 2016. "Time value of delays in unreliable production systems with mixed uncertainties of fuzziness and randomness," European Journal of Operational Research, Elsevier, vol. 255(3), pages 834-844.
    5. Kabirian, Alireza & Ólafsson, Sigurdur, 2011. "Continuous optimization via simulation using Golden Region search," European Journal of Operational Research, Elsevier, vol. 208(1), pages 19-27, January.
    6. M Laguna & J Molina & F Pérez & R Caballero & A G Hernández-Díaz, 2010. "The challenge of optimizing expensive black boxes: a scatter search/rough set theory approach," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(1), pages 53-67, January.
    7. Shekhar, Chandra & Kumar, Amit & Varshney, Shreekant, 2020. "Load sharing redundant repairable systems with switching and reboot delay," Reliability Engineering and System Safety, Elsevier, vol. 193(C).

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