Title :
Gradient-Based Simulation Optimization
Author_Institution :
Sch. of Ind. Eng., Purdue Univ., West Lafayette, IN
Abstract :
We present a review of methods for simulation optimization. In particular, we focus on gradient-based techniques for continuous optimization. We demonstrate the main concepts using as an example the multidimensional newsvendor problem. We also discuss mathematical techniques and results that are useful in verifying and analyzing the simulation optimization procedures
Keywords :
gradient methods; simulation; continuous optimization; gradient-based simulation optimization; mathematical techniques; multidimensional newsvendor problem; Analytical models; Computational modeling; Industrial engineering; Multidimensional systems; Optimization methods; Production; Random variables; Resource management; Stochastic processes; Vectors;
Conference_Titel :
Simulation Conference, 2006. WSC 06. Proceedings of the Winter
Conference_Location :
Monterey, CA
Print_ISBN :
1-4244-0500-9
Electronic_ISBN :
1-4244-0501-7
DOI :
10.1109/WSC.2006.323048
