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Simulation-based optimization—convergence analysis and statistical inference
16 references·6 citing·30 second hop
Simulation-based optimization—convergence analysis and statistical inference (1996)Simulation-based optimization—convergence…Stochastic Linear Programming (2010)Stochastic Linear ProgrammingSTOCHASTIC APPROXIMATION (2005)STOCHASTIC APPROXIMATIONApplied Probability and Queues (2003)Applied Probability and QueuesDiscrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method (1995)Discrete Event Systems: Sensi…Acceleration of Stochastic Approximation by Averaging (1992)Acceleration of Stochastic Ap…Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse (1991)Stochastic Decomposition: An …Stochastic Modeling and the Theory of Queues (1989)Stochastic Modeling and the T…Numerical Techniques for Stochastic Optimization (1988)Numerical Techniques for Stoc…Applied Probability and Queues (1987)Applied Probability and QueuesA Guide to Simulation (1983)A Guide to SimulationPrinciples of Discrete Event Simulation. (1980)Principles of Discrete Event …Stochastic Approximation Methods for Constrained and Unconstrained Systems (1978)Stochastic Approximation Meth…Stochastic Linear Programming (1976)Stochastic Linear ProgrammingOn Asymptotic Normality in Stochastic Approximation (1968)On Asymptotic Normality in St…On a Stochastic Approximation Method (1954)On a Stochastic Approximation…The theory of queues with a single server (1952)The theory of queues with a s…Simulation optimization with mathematical programming representation of discrete event systems (2008)Simulation optimization with …Sequential Importance Sampling Algorithms for Dynamic Stochastic Programming (2006)Sequential Importance Samplin…Monte Carlo simulation approach to stochastic programming (2002)Monte Carlo simulation approa…Monte Carlo simulation approach to stochastic programming (2001)Monte Carlo simulation approa…REAL OPTION MODELS FOR MANAGING MANUFACTURING SYSTEM CHANGES IN THE NEW ECONOMY (2000)REAL OPTION MODELS FOR MANAGI…Sample-path solution of stochastic variational inequalities, with applications to option pricing (1996)Sample-path solution of stoch…A Stochastic Approximation Method (1951)Stochastic Estimation of the Maximum of a Regression Function (1952)Optimization of computer simulation models with rare events (1997)Proceedings of the 2002 Winter Simulation Conference (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs (1985)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Stochastic Programming Models (2003)An introduction to queueing theory (1993)Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks (2003)Data-driven robust optimization (2017)Costs, effects and C/E‐ratios alongside a clinical trial (1994)Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Model Transparency and Validation (2012)The empirical behavior of sampling methods for stochastic programming (2006)A unified framework for stochastic optimization (2018)Stability properties of constrained queueing systems and scheduling policies for maximum throughput in multihop radio networks (1992)Dynamic server allocation to parallel queues with randomly varying connectivity (1993)Asset Pricing with Heterogeneous Consumers (1996)Feature Article: Optimization for simulation: Theory vs. Practice (2002)Statistical Analysis of a Telephone Call Center (2005)Simulation modeling for analysis (2010)Convergence of least squares learning mechanisms in self-referential linear stochastic models (1989)Simulation Budget Allocation for Further Enhancing the Efficiency of Ordinal Optimization (2000)Monte Carlo Sampling Methods (2003)Optimization via simulation: A review (1994)Adaptive stochastic approximation by the simultaneous perturbation method (2000)An Introduction to Numerical Transform Inversion and Its Application to Probability Models (2000)M/G/1 queue with multiple working vacations (2005)A Stochastic Model for Order Book Dynamics (2010)
this work references cited by second hop

References

  • 1987Applied Probability and Queues2,704 cited
  • 1992Acceleration of Stochastic Approximation by Averaging1,822 cited
  • 1989Stochastic Modeling and the Theory of Queues1,605 cited
  • 1983A Guide to Simulation1,468 cited
  • 1978Stochastic Approximation Methods for Constrained and Unconstrained Systems1,459 cited
  • 2003Applied Probability and Queues1,453 cited
  • 1952The theory of queues with a single server876 cited
  • 2010Stochastic Linear Programming667 cited
  • 1988Numerical Techniques for Stochastic Optimization632 cited
  • 2005STOCHASTIC APPROXIMATION611 cited
  • 1980Principles of Discrete Event Simulation.538 cited
  • 1991Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse452 cited
  • 1995Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method383 cited
  • 1954On a Stochastic Approximation Method364 cited
  • 1976Stochastic Linear Programming337 cited
  • 1968On Asymptotic Normality in Stochastic Approximation312 cited

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Cited by

  • 2008Simulation optimization with mathematical programming representation of discrete event systems49 cited
  • 2006Sequential Importance Sampling Algorithms for Dynamic Stochastic Programming45 cited
  • 2002Monte Carlo simulation approach to stochastic programming42 cited
  • 2001Monte Carlo simulation approach to stochastic programming36 cited
  • 2000REAL OPTION MODELS FOR MANAGING MANUFACTURING SYSTEM CHANGES IN THE NEW ECONOMY33 cited
  • 1996Sample-path solution of stochastic variational inequalities, with applications to option pricing31 cited