Gradient-based simulation optimization

Authors:
Sujin Kim
Affiliations:
Purdue University, West Lafayette, IN
Venue:
Proceedings of the 38th conference on Winter simulation
Year:
2006

Citing 18
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Abstract

We present a review of methods for simulation optimization. In particular, we focus on gradient-based techniques for continuous optimization. We demonstrate the main concepts using as an example the multidimensional newsvendor problem. We also discuss mathematical techniques and results that are useful in verifying and analyzing the simulation optimization procedures.