Simulation-based optimization—convergence analysis and statistical inference

DOI10.1080/15326349608807393zbMATH Open0864.93095OpenAlexW1991279460MaRDI QIDQ4895649FDOQ4895649

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

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zbMATH Keywords

stochastic programmingstochastic approximation methodstochastic counterpart methodlikelihood ratios method

Mathematics Subject Classification ID

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

Cited In (22)

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• An approach based on Hotelling’s test for multicriteria stochastic simulation–optimization
• Simulation and the Asymptotics of Optimization Estimators
• On sampling rates in simulation-based recursions
• Statistical inference of stochastic optimization problems
• A simulation-based approach to two-stage stochastic programming with recourse
• Statistical testing of optimality conditions in multiresponse simulation-based optimization
• Simulation and the finite-difference stochastic approximation method
• Sequential importance sampling algorithms for dynamic stochastic programming
• On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems
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• Discrete conditional-expectation-based simulation optimization: methodology and applications
• Least-squares Importance Sampling for Monte Carlo security pricing

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