Optimization of static simulation models by the score function method

Reuven Y. Rubinstein and Alexander Shapiro

Mathematics and Computers in Simulation (MATCOM), 1990, vol. 32, issue 4, 373-392

Abstract: In this paper we show how an optimization problem involving the expected performance of a stochastic system can be estimated using a single simulation experiment. The proposed method is based on a probability measure transformation and generation of a stochastic counterpart to the deterministic optimization program. Statistical properties of the derived estimators are discussed and examples are given.

Date: 1990
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:32:y:1990:i:4:p:373-392

DOI: 10.1016/0378-4754(90)90142-6

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