Discrete conditional-expectation-based simulation optimization: methodology and applications

DOI10.1016/J.EJOR.2021.11.005MaRDI QIDQ2076929zbMATH OpenOpenAlexFDO

Authors Kuo-Hao Chang, Robert Cuckler, Song-Lin Lee, Loo Hay Lee

Publication date 22 February 2022

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2021.11.005

zbMATH Keywords

conditional expectationoptimal computing budget allocationparticle swarm optimizationsimulationsimulation optimization

Mathematics Subject Classification ID

Mathematical modeling or simulation for problems pertaining to operations research and mathematical programming (90-10) Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59) Statistical methods; risk measures (91G70)

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Cites work

• A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code
• A direct search method for unconstrained quantile-based simulation optimization
• A multiobjective stochastic simulation optimization algorithm
• Efficient Dynamic Simulation Allocation in Ordinal Optimization
• Fast gradient descent method for mean-CVaR optimization
• Gradient-Based Adaptive Stochastic Search for Non-Differentiable Optimization
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
• On solving the dual for portfolio selection by optimizing conditional value at risk
• Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
• Simulation optimization of risk measures with adaptive risk levels
• Smooth minimization of non-smooth functions
• Stochastic Nelder-Mead simplex method -- a new globally convergent direct search method for simulation optimization

Cited in

(2)

• Simulation optimization of risk measures with adaptive risk levels
• Simulation optimization for stochastic casualty collection point location and resource allocation problem in a mass casualty incident

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