Simulation-based optimization—convergence analysis and statistical inference

DOI10.1080/15326349608807393MaRDI QIDQ4895649zbMATH OpenOpenAlexFDO

Authors Alexander Shapiro

Publication date 23 June 1997

Published in Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349608807393

zbMATH Keywords

stochastic programmingstochastic approximation methodstochastic counterpart methodlikelihood ratios method

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20)

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Cited in

(23)

• A simulation-based approach to two-stage stochastic programming with recourse
• On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems
• Convergence of realization-based statistics to model-based statistics for the LU unconditional simulation algorithm: some numerical tests
• Simulation optimization with countably infinite feasible regions: efficiency and convergence
• A Stochastic Approximation Algorithm with Varying Bounds
• Simulation and the finite-difference stochastic approximation method
• Statistical testing of optimality conditions in multiresponse simulation-based optimization
• Accelerated sample average approximation method for two-stage stochastic programming with binary first-stage variables
• Simulation-Based Optimization with Stochastic Approximation Using Common Random Numbers
• Asymptotic behavior of solutions: an application to stochastic NLP
• Simulation and the Asymptotics of Optimization Estimators
• Discrete conditional-expectation-based simulation optimization: methodology and applications
• Statistical inference of stochastic optimization problems
• An asymptotic test of optimality conditions in multiresponse simulation optimization
• Simulation-based approach to estimation of latent variable models
• Least-squares Importance Sampling for Monte Carlo security pricing
• Optimization of computer simulation models with rare events
• Stochastic RWA and lightpath rerouting in WDM networks
• Joint tank container demurrage policy and flow optimisation using a progressive hedging algorithm with expanded time-space network
• Sequential importance sampling algorithms for dynamic stochastic programming
• On sampling rates in simulation-based recursions
• An approach based on Hotelling’s test for multicriteria stochastic simulation–optimization
• Simulation optimization: a review and exploration in the new era of cloud computing and big data

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