Rubinstein, Reuven Y.; Shapiro, Alexander - In: Mathematics and Computers in Simulation (MATCOM) 32 (1990) 4, pp. 373-392
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...