The Sample Average Approximation Method for Stochastic Discrete Optimization
SIAM Journal on Optimization
Monte Carlo Statistical Methods (Springer Texts in Statistics)
Monte Carlo Statistical Methods (Springer Texts in Statistics)
Applied Optimization with MATLAB Programming
Applied Optimization with MATLAB Programming
Introduction to Statistical Methods and Data Analysis (with CD-ROM)
Introduction to Statistical Methods and Data Analysis (with CD-ROM)
Monte Carlo bounding techniques for determining solution quality in stochastic programs
Operations Research Letters
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The concept of robustness as the probability mass of a design-dependent set has been introduced in the literature. Optimization of robustness can be seen as finding the design that has the highest robustness. The reference method for estimating the robustness is the Monte Carlo (MC) simulation, and the drawback for its direct use in nonlinear optimization is the lack of derivative information and the appearance of discontinuities. An alternative for MC is presented, called the smoothed Monte Carlo estimation. It is proved that the resulting estimate function is made continuous in relevant design points and facilitates the use of standard nonlinear optimization algorithms. The whole procedure is illustrated numerically.