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The mathematics of continuous-variable simulation optimization

descriptionPublicationkeyboard_double_arrow_right Article 01 Dec 2008Publisher:IEEEJournal:2008 Winter Simulation Conference

Authors: Shane G. Henderson; Sujin Kim;

doi: 10.1109/wsc.2008.4736062 , 10.5555/1516744.1516774

The mathematics of continuous-variable simulation optimization

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Abstract

Continuous-variable simulation optimization problems are those optimization problems where the objective function is computed through stochastic simulation and the decision variables are continuous. We discuss verifiable conditions under which the objective function is continuous or differ-entiable, and outline some key properties of two classes of methods for solving such problems, namely sample-average approximation and stochastic approximation.

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