Optimization of stochastic simulation models

DOI10.1016/0378-4754(80)90050-6zbMath0452.90053OpenAlexW1989098643MaRDI QIDQ1148796

Farhad Azadivar, Joseph J. Talavage

Publication date: 1980

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-4754(80)90050-6

zbMATH Keywords

equality constraintsrandom variablesinequality constraintscomplex systemunknown objective functionalgorithm SAMOPTdeterministic objective functionstochastic approximation approachstochastic simulation models

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic programming (90C15)

Related Items (6)

Optimization of discrete variable stochastic systems by computer simulation ⋮ A new hybrid stochastic approximation algorithm ⋮ Optimization of stochastic simulation models ⋮ A Modified Quasi‐Newton Method for Optimization in Simulation ⋮ Modeling data envelopment analysis by chance method in hybrid uncertain environments ⋮ Optimization via simulation: A review

Cites Work

• Optimization of stochastic simulation models
• Accelerated Stochastic Approximation
• The Gradient Projection Method for Nonlinear Programming. Part I. Linear Constraints
• Second-order response surface designs in computer simulation
• Automatic optimum-seeking program for digital simulation
• An efficient method for finding the minimum of a function of several variables without calculating derivatives
• Function Minimization Without Evaluating Derivatives--a Review
• A New Method of Constrained Optimization and a Comparison With Other Methods
• Sequential Application of Simplex Designs in Optimisation and Evolutionary Operation
• Stochastic Estimation of the Maximum of a Regression Function
• A Stochastic Approximation Method
• Multidimensional Stochastic Approximation Methods

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