Optimal Sampling Laws for Stochastically Constrained Simulation Optimization on Finite Sets

Consider the context of selecting an optimal system from among a finite set of competing systems, based on a "stochastic" objective function and subject to multiple "stochastic" constraints. In this context, we characterize the asymptotically optimal sample allocation that maximi...

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Veröffentlicht in:	INFORMS journal on computing 2013-06, Vol.25 (3), p.527-542
Hauptverfasser:	Hunter, Susan R, Pasupathy, Raghu
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms constrained simulation optimization Finite element analysis Mathematical optimization Methods optimal allocation ranking and selection Simulation Simulation methods Stochastic models Studies
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