Optimal Sampling Laws for Stochastically Constrained Simulation Optimization on Finite Sets

References

• Andradóttir S, Henderson SG, Nelson BL. An overview of simulation optimization via random search. Simulation, Handbooks in Oper. Res. and Management Sci. (2006) (Elsevier)617–631Google Scholar
• Andradóttir S, Kim S-H. Fully sequential procedures for comparing constrained systems via simulation. Naval Res. Logist. (2010) 57:403–421Crossref, Google Scholar
• Batur D, Kim S-H. Finding feasible systems in the presence of constraints on multiple performance measures. ACM Trans. Model. Comput. Simulation (2010) 20(13):1–26Crossref, Google Scholar
• Boyd S, Vandenberghe L. Convex Optimization (2004) (Cambridge University Press, New York) Crossref, Google Scholar
• Branke J, Chick SE, Schmidt C. Selecting a selection procedure. Management Sci. (2007) 53(12):1916–1932Link, Google Scholar
• Broadie M, Han M, Zeevi A. Implications of heavy tails on simulation-based ordinal optimization. Proc. 2007 Winter Simulation Conf. (2007) (IEEE Press, Piscataway, NJ) 439–447Crossref, Google Scholar
• Bucklew JA. Introduction to Rare Event Simulation (2003) (Springer, New York) Springer Series in StatisticsGoogle Scholar
• Chen C-H, Lin J, Yücesan E, Chick SE. Simulation budget allocation for further enhancing the efficiency of ordinal optimization. Discrete Event Dynam. Systems (2000) 10:251–270Crossref, Google Scholar
• Dembo A, Zeitouni O. Large Deviations Techniques and Applications (1998) 2nd ed(Springer, New York) Crossref, Google Scholar
• Glynn PW, Juneja S. A large deviations perspective on ordinal optimization. Proc. 2004 Winter Simulation Conf. (2004) (IEEE Press, Piscataway, NJ) 577–585Crossref, Google Scholar
• Glynn PW, Juneja S. Ordinal optimization: A large deviations perspective. (2006) . Working Paper Series, Indian School of Business. Accessed August 7, 2012, http://www.isb.edu/faculty/Working_Papers_pdfs/Ordinal_Optimization.pdfGoogle Scholar
• Hunter SR. Sampling laws for stochastically constrained simulation optimization on finite sets. (2011) . Ph.D. thesis, Virginia Tech, Blacksburg, VirginiaGoogle Scholar
• Hunter SR, Pujowidianto NA, Chen C-H, Lee LH, Pasupathy R, Yap CM. Optimal sampling laws for stochastically constrained simulation optimization on finite sets: The bivariate normal case. Proc. 2011 Winter Simulation Conf. (2011) (IEEE Press, Piscataway, NJ) 4294–4302Crossref, Google Scholar
• Kim S-H, Nelson BL, Henderson SG, Nelson BL. Selecting the best system. Simulation (2006) Vol. 13(Elsevier, Amstrdam, The Nethrlands) 501–534Handbooks in Oper. Res. and Management Sci.Crossref, Google Scholar
• Lee LH, Chew EP, Teng S, Goldsman D. Finding the non-dominated pareto set for multiobjective simulation models. IIE Trans. (2010) 42(9):656–674Crossref, Google Scholar
• Lee LH, Pujowidianto NA, Li L-W, Chen C-H, Yap CM. Approximate simulation budget allocation for selecting the best design in the presence of stochastic constraints. IEEE Trans. Automatic Control (2011) . ForthcomingGoogle Scholar
• Ólafsson S, Kim J. Simulation optimization. Proc. 2002 Winter Simulation Conf. (2002) (IEEE Press, Piscataway, NJ) 79–84Crossref, Google Scholar
• Pasupathy R, Henderson SG. A testbed of simulation-optimization problems. Proc. 2006 Winter Simulation Conf. (2006) (IEEE Press, Piscataway, NJ) Crossref, Google Scholar
• Pasupathy R, Henderson SG. SimOpt: A library of simulation optimization problems. Proc. 2011 Winter Simulation Conf. (2011) (IEEE Press, Piscataway, NJ) Crossref, Google Scholar
• Pasupathy R, Kim S. The stochastic root-finding problem: Overview, solutions, and open questions. ACM Trans. Model. Comput. Simulation (2011) 21(3):1–23Crossref, Google Scholar
• Resnick SI. Extreme Values, Regular Variation, and Point Processes (2008) (Springer, New York) Springer Series in Oper. Res. and Financial Engrg.Google Scholar
• Rudin W. Principles of Mathematical Analysis (1976) (McGraw-Hill, New York) International Series in Pure and Applied MathematicsGoogle Scholar
• Spall JC. Introduction to Stochastic Search and Optimization (2003) (John Wiley & Sons, Hoboken, NJ) Crossref, Google Scholar
• Szechtman R, Yücesan E. A new perspective on feasibility determination. Proc. 2008 Winter Simulation Conf. (2008) (IEEE Press, Piscataway, NJ) 273–280Crossref, Google Scholar