A practical approach to sample-path simulation optimization

Authors:
Michael C. Ferris;Todd S. Munson;Krung Sinapiromsaran
Affiliations:
University of Wisconsin, Madison, WI;University of Wisconsin, Madison, WI;University of Wisconsin, Madison, WI
Venue:
Proceedings of the 32nd conference on Winter simulation
Year:
2000

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Abstract

We propose solving continuous parametric simulation optimizations using a deterministic nonlinear optimization algorithm and sample-path simulations. The optimization problem is written in a modeling language with a simulation module accessed with an external function call. Since we allow no changes to the simulation code at all, we propose using a quadratic approximation of the simulation function to obtain derivatives. Results on three different queueing models are presented that show our method to be effective on a variety of practical problems.