Simulation-optimization using a reinforcement learning approach
Proceedings of the 40th Conference on Winter Simulation
Techniques for simulation response optimization
Operations Research Letters
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A major part of all simulation models contains a number of decision variables. For such models the problem of optimal decision arises in a natural way. The combination of simulation and optimization for probabilistic models with continuous decision variables is discussed in this paper. Several important techniques for solving the combined problem are presented. In particular the stochastic quasigradient method which is a well known technique in stochastic optimization may also successfully applied for simulation-optimization problems.