ISSN:
1572-9338
Keywords:
Monte Carlo optimization
;
optimization in simulation
;
sample path analysis
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
,
Economics
Notes:
Abstract We present a method for deriving theoptimal solution of a class of mathematical programming problems, associated with discrete-event systems and in particular with queueing models, while using asingle sample path (single simulation experiment) from the underlying process. Our method, called thescore function method, is based on probability measure transformation derived from the efficient score process and generating statistical counterparts to the conventional deterministic optimization procedures (e.g. Lagrange multipliers, penalty functions, etc.). Applications of our method to optimization of various discrete-event systems are presented, and numerical results are given.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF02055195
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