An asymptotic test of optimality conditions in multiresponse simulation optimization

DOI10.1287/IJOC.1100.0438MaRDI QIDQ2815429zbMATH OpenOpenAlexFDO

Authors Ebru Angün, Jack P. C. Kleijnen

Publication date 29 June 2016

Published in INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL https://research.tilburguniversity.edu/en/publications/a69dfa59-b0e1-45bd-8cd6-a9529d4d8d96

zbMATH Keywords

black-box simulation-optimizationdesign of experimentssimulationstatistical analysiswhite-box simulation-optimization

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

• A simulation-based approach to two-stage stochastic programming with recourse
• Convergence Rates of Finite-Difference Sensitivity Estimates for Stochastic Systems
• scientific article; zbMATH DE number 439951 (Why is no real title available?)
• scientific article; zbMATH DE number 1209391 (Why is no real title available?)
• Introduction to Stochastic Search and Optimization
• Minimizing the bias and variance of the gradient estimate in RSM simulation studies
• Optimization for simulation: theory vs. practice
• Optimization of (s,S) inventory systems with random lead times and a service level constraint
• Overbooking with Substitutable Inventory Classes
• Statistical testing of optimality conditions in multiresponse simulation-based optimization
• Statistical verification of optimality conditions for stochastic programs with recourse
• Towards a Unified Theory of Inequality Constrained Testing in Multivariate Analysis
• Wald Criteria for Jointly Testing Equality and Inequality Restrictions

Cited in

(4)

• Stochastic mesh adaptive direct search for blackbox optimization using probabilistic estimates
• First order rejection tests for multiple-objective optimization
• Approximating the objective function's gradient using perceptrons for constrained minimization with application in drag reduction
• Modifications of generalized response surface methodology for constrained stochastic optimization problems

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Uses Software

• bootstrap

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