Simulation-Based Optimization with Stochastic Approximation Using Common Random Numbers

DOI10.1287/MNSC.45.11.1570MaRDI QIDQ4950972zbMATH OpenOpenAlexFDO

Authors Nathan L. Kleinman, James C. Spall, Daniel Q. Naiman

Publication date 27 April 2000

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.45.11.1570

zbMATH Keywords

common random numbersdiscrete event dynamic systemsfinite difference stochastic approximationsimultaneous perturbation stochastic approximation

Mathematics Subject Classification ID

Operations research and management science (90B99)

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• Stochastic subset optimization incorporating moving least squares response surface methodologies for stochastic sampling
• Limit Theorems for Simulation-Based Optimization via Random Search
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