The mathematics of continuous-variable simulation optimization

Continuous-variable simulation optimization problems are those optimization problems where the objective function is computed through stochastic simulation and the decision variables are continuous. We discuss verifiable conditions under which the objective function is continuous or differentiable, and outline some key properties of two classes of methods for solving such problems, namely sample-average approximation and stochastic approximation.

• Type: Conference
• Year: 2008
• Where: WSC
• Authors: Sujin Kim, Shane G. Henderson
• Keywords: Modeling And Simulation, Objective Function, Optimization Problems, Simulation Optimization Problems, WSC 2008