A Practical Approach to Sample-path Simulation Optimization
Abstract
We propose solving continuous parametric simulation
optimizations using a deterministic nonlinear optimiza-
tion algorithm and sample-path simulations. The op-
timization problem is written in a modeling language
with a simulation module accessed with an external
function call. Since we allow no changes to the sim-
ulation code at all, we propose using a quadratic ap-
proximation of the simulation function to obtain deriva-
tives. Results on three di erent queueing models are
presented that show our method to be e ective on a
variety of practical problems.
Subject
modeling
quadratic approximation
nonlinear programming
simulation optimization
Permanent Link
http://digital.library.wisc.edu/1793/64284Type
Technical Report
Citation
00-03