메뉴 건너뛰기




Volumn , Issue , 2006, Pages 159-167

Gradient-based simulation optimization

Author keywords

[No Author keywords available]

Indexed keywords

GRADIENT METHODS; MATHEMATICAL TECHNIQUES;

EID: 46149112185     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/WSC.2006.323048     Document Type: Conference Paper
Times cited : (21)

References (33)
  • 1
    • 0032276811 scopus 로고    scopus 로고
    • A review of simulation optimization techniques
    • ed. D. Medeiros, E. Watson, J. S. Carson, and M. S. Manivannan
    • Andradóttir, S. 1998. A review of simulation optimization techniques. In Proceedings of the 1998 Winter Simulation Conference, ed. D. Medeiros, E. Watson, J. S. Carson, and M. S. Manivannan, 151-158.
    • (1998) Proceedings of the 1998 Winter Simulation Conference , pp. 151-158
    • Andradóttir, S.1
  • 2
    • 0033307337 scopus 로고    scopus 로고
    • Simulation optimization methodologies
    • ed. P. A. Farrington, H. Black Nembhard, D. T. Sturrock, and G. W. Evans
    • Azadivar, F. 1999. Simulation optimization methodologies. In Proceedings of the 1999 Winter Simulation Conference, ed. P. A. Farrington, H. Black Nembhard, D. T. Sturrock, and G. W. Evans, 93-100.
    • (1999) Proceedings of the 1999 Winter Simulation Conference , pp. 93-100
    • Azadivar, F.1
  • 3
    • 33745712333 scopus 로고    scopus 로고
    • Convergence theory for nonconvex stochastic programming with an application to mixed logit
    • Bastin, F., C. Cirillo, and P. L. Toint. 2007. Convergence theory for nonconvex stochastic programming with an application to mixed logit. Mathematical Programming 108:207-234.
    • (2007) Mathematical Programming , vol.108 , pp. 207-234
    • Bastin, F.1    Cirillo, C.2    Toint, P.L.3
  • 5
    • 0035277501 scopus 로고    scopus 로고
    • Stochastic root finding via retrospective approximation
    • Chen, H., and B. W. Schmeiser. 2001. Stochastic root finding via retrospective approximation. IIE Transactions 33:259-275.
    • (2001) IIE Transactions , vol.33 , pp. 259-275
    • Chen, H.1    Schmeiser, B.W.2
  • 6
    • 0025417457 scopus 로고
    • Convergence of the GI/G/1 queue using infinitesimal perturbation analysis
    • Fu, M. C. 1990. Convergence of the GI/G/1 queue using infinitesimal perturbation analysis. Journal of Optimization Theory and Applications 65:149-160.
    • (1990) Journal of Optimization Theory and Applications , vol.65 , pp. 149-160
    • Fu, M.C.1
  • 7
    • 34249770616 scopus 로고
    • Optimization via simulation: A review
    • Fu, M. C. 1994. Optimization via simulation: a review. Annals of Operations Research 53:199-247.
    • (1994) Annals of Operations Research , vol.53 , pp. 199-247
    • Fu, M.C.1
  • 8
    • 0012260296 scopus 로고    scopus 로고
    • Optimization for simulation: Theory vs. practice
    • Fu, M. C. 2002. Optimization for simulation: theory vs. practice. INFORMS Journal on Computing 14:192-215.
    • (2002) INFORMS Journal on Computing , vol.14 , pp. 192-215
    • Fu, M.C.1
  • 9
    • 33846679442 scopus 로고    scopus 로고
    • Simulation optimization: A review, new developments and applications
    • ed. M. E. Kuhl, N. M. Steiger, F. B. Armstrong, and J. A. Joines
    • Fu, M. C., F. Glover, and J. April. 2005. Simulation optimization: A review, new developments and applications. In Proceedings of the 2005 Winter Simulation Conference, ed. M. E. Kuhl, N. M. Steiger, F. B. Armstrong, and J. A. Joines, 83-95.
    • (2005) Proceedings of the 2005 Winter Simulation Conference , pp. 83-95
    • Fu, M.C.1    Glover, F.2    April, J.3
  • 10
    • 0030402221 scopus 로고    scopus 로고
    • A comparison of perturbation analysis techniques
    • ed. J. M. Charnes, D. J. Morrice, D. T. Brunner, and J. J. Swain
    • Fu, M. C., and J.-Q. Hu. 1996. A comparison of perturbation analysis techniques. In Proceedings of the 1996 Winter Simulation Conference, ed. J. M. Charnes, D. J. Morrice, D. T. Brunner, and J. J. Swain, 295-301.
    • (1996) Proceedings of the 1996 Winter Simulation Conference , pp. 295-301
    • Fu, M.C.1    Hu, J.-Q.2
  • 14
    • 0033078588 scopus 로고    scopus 로고
    • Multi-resource investment stragies: Operational hedging under demand uncertainty
    • Harrison, J. M., and J. A. Van Mieghem. 1999. Multi-resource investment stragies: Operational hedging under demand uncertainty. European Journal of Operational Research 113:17-29.
    • (1999) European Journal of Operational Research , vol.113 , pp. 17-29
    • Harrison, J.M.1    Van Mieghem, J.A.2
  • 15
    • 0026365220 scopus 로고
    • Retrospective simulation response optimization
    • ed. B. L. Nelson, W. D. Kelton, and G. Clark
    • Healy, K., and L. W. Schruben. 1991. Retrospective simulation response optimization. In Proceedings of the 1991 Winter Simulation Conference, ed. B. L. Nelson, W. D. Kelton, and G. Clark, 901-907.
    • (1991) Proceedings of the 1991 Winter Simulation Conference , pp. 901-907
    • Healy, K.1    Schruben, L.W.2
  • 16
    • 46149121425 scopus 로고    scopus 로고
    • Henderson, S. G., and B. L. Nelson. (Eds.) 2006. Handbook of simulation. Elsevier. Forthcoming.
    • Henderson, S. G., and B. L. Nelson. (Eds.) 2006. Handbook of simulation. Elsevier. Forthcoming.
  • 17
    • 0001079593 scopus 로고
    • Stochastic estimation of the maximum of a regression function
    • Kiefer, J., and J. Wolfowitz. 1952. Stochastic estimation of the maximum of a regression function. Annals of Mathematical Statistics 23:462-466.
    • (1952) Annals of Mathematical Statistics , vol.23 , pp. 462-466
    • Kiefer, J.1    Wolfowitz, J.2
  • 20
    • 0000997790 scopus 로고
    • A unified view of the IPA, SF and LR gradient estimation techniques
    • L'Ecuyer, P. 1991. A unified view of the IPA, SF and LR gradient estimation techniques. Management Science 36:1364-1383.
    • (1991) Management Science , vol.36 , pp. 1364-1383
    • L'Ecuyer, P.1
  • 21
    • 0011744299 scopus 로고
    • On the interchange of derivative and expectation for likelihood ratio derivative estimators
    • L'Ecuyer, P. 1995. On the interchange of derivative and expectation for likelihood ratio derivative estimators. Management Science 41:738-748.
    • (1995) Management Science , vol.41 , pp. 738-748
    • L'Ecuyer, P.1
  • 22
    • 0028546691 scopus 로고
    • Stochastic optimization by simulation: Convergence proofs for the GI/G/1 queue in steady-state
    • L'Ecuyer, P., and P. W. Glynn. 1994. Stochastic optimization by simulation: Convergence proofs for the GI/G/1 queue in steady-state. Management Science 40:1562-1578.
    • (1994) Management Science , vol.40 , pp. 1562-1578
    • L'Ecuyer, P.1    Glynn, P.W.2
  • 23
    • 0001577860 scopus 로고
    • On the convergence rates of IPA and FDC derivative estimators
    • L'Ecuyer, P., and G. Perron. 1994. On the convergence rates of IPA and FDC derivative estimators. Operations Research 42(4):643-656.
    • (1994) Operations Research , vol.42 , Issue.4 , pp. 643-656
    • L'Ecuyer, P.1    Perron, G.2
  • 24
    • 0001621211 scopus 로고    scopus 로고
    • Sample-path optimization of convex stochastic performance functions
    • Plambeck, E. L., B.-R. Fu, S. M. Robinson, and R. Suri. 1996. Sample-path optimization of convex stochastic performance functions. Mathematical Programming 75:137-176.
    • (1996) Mathematical Programming , vol.75 , pp. 137-176
    • Plambeck, E.L.1    Fu, B.-R.2    Robinson, S.M.3    Suri, R.4
  • 29
    • 0043224019 scopus 로고
    • A Newton-Raphson version of the multivariate Robbins-Monro procedure
    • Ruppert, D. 1985. A Newton-Raphson version of the multivariate Robbins-Monro procedure. Annals of Statistics 13:236-245.
    • (1985) Annals of Statistics , vol.13 , pp. 236-245
    • Ruppert, D.1
  • 30
    • 0000228107 scopus 로고
    • Asymptotic behavior of optimal solutions in stochastic programming
    • Shapiro, A. 1993. Asymptotic behavior of optimal solutions in stochastic programming. Mathematics of Operations Research 18:829-845.
    • (1993) Mathematics of Operations Research , vol.18 , pp. 829-845
    • Shapiro, A.1
  • 31
    • 28044445224 scopus 로고    scopus 로고
    • Monte Carlo sampling methods
    • ed. A. Ruszczynski and A. Shapiro, Handbooks in Operations Research and Management Science. Elsevier
    • Shapiro, A. 2003. Monte Carlo sampling methods. In Stochastic Programming, ed. A. Ruszczynski and A. Shapiro, Handbooks in Operations Research and Management Science. Elsevier.
    • (2003) Stochastic Programming
    • Shapiro, A.1
  • 32
    • 0036768955 scopus 로고    scopus 로고
    • Newsvendor networks: Inventory management and capacity investment with discretionarty activities
    • Van Mieghem, J. A., and N. Rudi. 2002. Newsvendor networks: Inventory management and capacity investment with discretionarty activities. Manufacturing and Service Operations Management 4(4):313-335.
    • (2002) Manufacturing and Service Operations Management , vol.4 , Issue.4 , pp. 313-335
    • Van Mieghem, J.A.1    Rudi, N.2
  • 33
    • 0011394477 scopus 로고
    • Convergence rates of finite-difference sensitivity estimates for stochastic systems
    • Zazanis, M. A., and R. Suri. 1993. Convergence rates of finite-difference sensitivity estimates for stochastic systems. Operations Research 41:694-703.
    • (1993) Operations Research , vol.41 , pp. 694-703
    • Zazanis, M.A.1    Suri, R.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.