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Sample-path solutions for simulation optimization problems and stochastic variational inequalities

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  • Gürkan, G.

    (Tilburg University, Center For Economic Research)

  • Ozge, A.Y.
  • Robinson, S.M.

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  • Gürkan, G. & Ozge, A.Y. & Robinson, S.M., 1997. "Sample-path solutions for simulation optimization problems and stochastic variational inequalities," Discussion Paper 1997-78, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:9c36c4c8-25d6-4a86-afbd-28f1b04bda4c
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    References listed on IDEAS

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    1. Daniel De Wolf & Yves Smeers, 1997. "A Stochastic Version of a Stackelberg-Nash-Cournot Equilibrium Model," Management Science, INFORMS, vol. 43(2), pages 190-197, February.
    2. 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.
    3. Stephen M. Robinson, 1996. "Analysis of Sample-Path Optimization," Mathematics of Operations Research, INFORMS, vol. 21(3), pages 513-528, August.
    4. Gürkan, G. & Ozge, A.Y. & Robinson, S.M., 1997. "Sample-path solution of stochastic variational inequalities," Discussion Paper 1997-87, Tilburg University, Center for Economic Research.
    5. Peter Kall, 1986. "Approximation to Optimization Problems: An Elementary Review," Mathematics of Operations Research, INFORMS, vol. 11(1), pages 9-18, February.
    6. Gürkan, G. & Ozge, A.Y. & Robinson, S.M., 1997. "Sample-path solution of stochastic variational inequalities," Other publications TiSEM 0e5d1c05-b311-49bf-8450-4, Tilburg University, School of Economics and Management.
    7. Stephen M. Robinson, 1980. "Strongly Regular Generalized Equations," Mathematics of Operations Research, INFORMS, vol. 5(1), pages 43-62, February.
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    1. Gürkan, G. & Ozge, A.Y. & Robinson, S.M., 1997. "Sample-path solutions for simulation optimization problems and stochastic variational inequalities," Other publications TiSEM 9c36c4c8-25d6-4a86-afbd-2, Tilburg University, School of Economics and Management.

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