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Sample-Path Optimization in Simulation

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  • G. Guerkan
  • A.Y. Oezge
  • S.M. Robinson

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Suggested Citation

  • G. Guerkan & A.Y. Oezge & S.M. Robinson, 1994. "Sample-Path Optimization in Simulation," Working Papers wp94070, International Institute for Applied Systems Analysis.
    • Handle: RePEc:wop:iasawp:wp94070
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    File URL: http://www.iiasa.ac.at/Publications/Documents/WP-94-070.ps
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    References listed on IDEAS

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    1. Peter Kall, 1986. "Approximation to Optimization Problems: An Elementary Review," Mathematics of Operations Research, INFORMS, vol. 11(1), pages 9-18, February.
    2. Alexander Shapiro, 1993. "Asymptotic Behavior of Optimal Solutions in Stochastic Programming," Mathematics of Operations Research, INFORMS, vol. 18(4), pages 829-845, November.
    3. Alan J. King & R. Tyrrell Rockafellar, 1993. "Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming," Mathematics of Operations Research, INFORMS, vol. 18(1), pages 148-162, February.
    4. Rubinstein, Reuven Y. & Shapiro, Alexander, 1990. "Optimization of static simulation models by the score function method," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 32(4), pages 373-392.
    5. Alan J. King, 1989. "Generalized Delta Theorems for Multivalued Mappings and Measurable Selections," Mathematics of Operations Research, INFORMS, vol. 14(4), pages 720-736, November.
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    Cited by:

    1. Juan, Angel A. & Faulin, Javier & Grasman, Scott E. & Rabe, Markus & Figueira, Gonçalo, 2015. "A review of simheuristics: Extending metaheuristics to deal with stochastic combinatorial optimization problems," Operations Research Perspectives, Elsevier, vol. 2(C), pages 62-72.
    2. Rosen, Scott L. & Harmonosky, Catherine M. & Traband, Mark T., 2007. "A simulation optimization method that considers uncertainty and multiple performance measures," European Journal of Operational Research, Elsevier, vol. 181(1), pages 315-330, August.
    3. Y.M. Ermoliev & V.I. Norkin, 1997. "Stochastic Generalized Gradient Method with Application to Insurance Risk Management," Working Papers ir97021, International Institute for Applied Systems Analysis.
    4. Emelogu, Adindu & Chowdhury, Sudipta & Marufuzzaman, Mohammad & Bian, Linkan & Eksioglu, Burak, 2016. "An enhanced sample average approximation method for stochastic optimization," International Journal of Production Economics, Elsevier, vol. 182(C), pages 230-252.
    5. Fei, Xin & Gülpınar, Nalân & Branke, Jürgen, 2019. "Efficient solution selection for two-stage stochastic programs," European Journal of Operational Research, Elsevier, vol. 277(3), pages 918-929.

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