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Optimization via simulation: a review (1994)
| Venue: | Annals of Operations Research |
| Citations: | 89 - 20 self |
BibTeX
@ARTICLE{Fu94optimizationvia,
author = {Michael C. Fu},
title = {Optimization via simulation: a review},
journal = {Annals of Operations Research},
year = {1994},
pages = {199--248}
}
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Abstract
We review techniques for optimizing stochastic discrete-event systems via simulation. We discuss both the discrete parameter case and the continuous parameter case, but concentrate on the latter which has dominated most of the recent research in the area. For the discrete parameter case, we focus on the techniques for optimization from a finite set: multiple-comparison procedures and ranking-and-selection procedures. For the continuous parameter case, we focus on gradient-based methods, including perturbation analysis, the likelihood ratio method, and frequency domain experimentation. For illustrative purposes, we compare and contrast the implementation of the techniques for some simple discrete-event systems such as the (s, S) inventory system and the GI/G/1 queue. Finally, we speculate on future directions for the field, particularly in the context of the rapid advances being made in parallel computing.
Keyphrases
discrete parameter case continuous parameter case recent research parallel computing stochastic discrete-event system ranking-and-selection procedure inventory system frequency domain experimentation finite set gradient-based method rapid advance perturbation analysis simple discrete-event system multiple-comparison procedure illustrative purpose future direction likelihood ratio method
