A practical approach to sample-path simulation optimization

We propose solving continuous parametric simulation optimizations using a deterministic nonlinear optimization algorithm and sample-path simulations. The optimization problem is written in a modeling language with a simulation module accessed with an external function call. Since we allow no changes to the simulation code at all, we propose using a quadratic approximation of the simulation function to obtain derivatives. Results on three different queueing models are presented that show our method to be effective on a variety of practical problems.

• Type: Conference
• Year: 2000
• Where: WSC
• Authors: Michael C. Ferris, Todd S. Munson, Krung Sinapiromsaran
• Keywords: Deterministic Nonlinear Optimization, Modeling And Simulation, Parametric Simulation Optimizations, Simulation, WSC 2000