Optimization of Simulation via Quasi-Newton Methods

DOI10.1287/IJOC.6.4.398MaRDI QIDQ4319324zbMATH OpenOpenAlexFDO

Authors M. Hossein Safizadeh, Robert Signorile

Publication date 28 May 1995

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

Full work available at URL https://doi.org/10.1287/ijoc.6.4.398

zbMATH Keywords

BFGS methodconvex functionsDavidon's methodinventory problemmanufacturing problemoptimization of simulationquasi-Newton methodsresponse surface methodology

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(11)

• Simulation and optimization by quantifier elimination
• An alternating variable method with varying replications for simulation response optimization
• Simulation response optimization via direct conjugate direction method
• A stochastic quasi-Newton method for simulation response optimization
• A direct search method for unconstrained quantile-based simulation optimization
• A Modified Quasi‐Newton Method for Optimization in Simulation
• Adaptive Newton-based multivariate smoothed functional algorithms for simulation optimization
• Quasi-Newton smoothed functional algorithms for unconstrained and constrained simulation optimization
• Simulation-based minimization
• Two‐stage computing budget allocation approach for the response surface method
• Minimizing the bias and variance of the gradient estimate in RSM simulation studies

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