Balancing Search and Estimation in Random Search Based Stochastic Simulation Optimization

DOI10.1109/TAC.2016.2522094MaRDI QIDQ2980301zbMATH OpenOpenAlexFDO

Authors Chenbo Zhu, Jie Xu, Chun-Hung Chen, Loo Hay Lee, Jianqiang Hu

Publication date 3 May 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2016.2522094

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Stochastic programming (90C15)

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(4)

• Efficient estimation of a risk measure requiring two-stage simulation optimization
• Fitting Statistical Models of Random Search in Simulation Studies
• A direct search method for unconstrained quantile-based simulation optimization
• Limit Theorems for Simulation-Based Optimization via Random Search

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