Optimization of static simulation models by the score function method

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.

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Year of publication:	1990
Authors:	Rubinstein, Reuven Y. ; Shapiro, Alexander
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 32.1990, 4, p. 373-392
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010748635