A review of simulation optimization techniques
Proceedings of the 30th conference on Winter simulation
Direct search methods: then and now
Journal of Computational and Applied Mathematics - Special issue on numerical analysis 2000 Vol. IV: optimization and nonlinear equations
On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs
SIAM Journal on Optimization
Feature Article: Optimization for simulation: Theory vs. Practice
INFORMS Journal on Computing
Variable-sample methods for stochastic optimization
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Gradient-based simulation optimization
Proceedings of the 38th conference on Winter simulation
Retrospective-approximation algorithms for the multidimensional stochastic root-finding problem
ACM Transactions on Modeling and Computer Simulation (TOMACS)
The mathematics of continuous-variable simulation optimization
Proceedings of the 40th Conference on Winter Simulation
A Sequential Sampling Procedure for Stochastic Programming
Operations Research
Non-derivative algorithm design for efficient routing over unreliable stochastic networks
Performance Evaluation
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Simulation is widely used to evaluate the performance and optimize the design of a complex system. In the past few decades, a great deal of research has been devoted to solving simulation optimization problems, perhaps owing to their generality. However, although there are many problems of practical interests that can be cast in the framework of simulation optimization, it is often difficult to obtain an understanding of their structure, making them very challenging. Direct search methods are a class of deterministic optimization methods particularly designed for black-box optimization problems. In this paper, we present a class of direct search methods for simulation optimization problems with stochastic noise. The optimization problem is approximated using a sample average approximation scheme. We propose an adaptive sampling scheme to improve the efficiency of direct search methods and prove the consistency of the solutions.