Limit Theorems for Simulation-Based Optimization via Random Search

DOI10.1145/2499913.2499915MaRDI QIDQ4635221zbMATH OpenOpenAlexFDO

Authors Yen Lin Chia, Peter W. Glynn

Publication date 16 April 2018

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/2499913.2499915

zbMATH Keywords

optimizationsimulationlimit theoremsrandom search

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Numerical optimization and variational techniques (65K10)

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Cited in

(7)

• Balancing Search and Estimation in Random Search Based Stochastic Simulation Optimization
• Balanced explorative and exploitative search with estimation for simulation optimization
• Fitting Statistical Models of Random Search in Simulation Studies
• Simulation optimization using multi-time-scale adaptive random search
• Simulation and the Asymptotics of Optimization Estimators
• On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems
• Blackbox simulation optimization

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