Optimization of stochastic simulation models

DOI10.1016/0378-4754(80)90050-6MaRDI QIDQ1148796zbMATH OpenOpenAlexFDO

Authors 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

random variablescomplex systeminequality constraintsequality constraintsunknown 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)

Cites work

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

Cited in

(6)

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

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