Handbook of simulation optimization. ([2015])

• Record Type: Book
• Further Information: Note: Michael C. Fu, Editor.
• Other Names: Fu, Michael, 1962-
• Contents: Preface; Contents; Contributors; Selected Abbreviations and Notation; 1 Overview of the Handbook; References; 2 Discrete Optimization via Simulation; 2.1 Introduction; 2.1.1 Designing a Highly Reliable System; 2.1.2 Flow-Line Throughput; 2.1.3 Inventory Management with Dynamic Customer Substitution; 2.1.4 Themes; 2.2 Optimality Conditions; 2.3 Ranking and Selection; 2.4 Ordinal Optimization; 2.5 Globally Convergent Random Search Algorithms; 2.6 Locally Convergent Random Search Algorithms; 2.7 Algorithm Enhancements; 2.8 Using Commercial Solvers. 2.8.1 Preliminary Experiment to Control Sampling Variability2.8.2 Restarting the Optimization; 2.8.3 Statistical Clean Up After Search; References; 3 Ranking and Selection: Efficient Simulation Budget Allocation; 3.1 Introduction; 3.1.1 Intuitive Explanations of Simulation Budget Allocation; 3.1.2 Overview of Ranking and Selection (R & S); 3.1.3 Organization; 3.2 Problem Formulation and Selection Procedures; 3.2.1 Problem Formulation of Selecting the Best; 3.2.2 A Generic Algorithm for Selection Procedures; 3.2.3 General Concepts for OCBA and EVI; Basic Idea of OCBA; Basic Idea of EVI. 3.3 Optimal Computing Budget Allocation (OCBA)3.3.1 Maximization of PCS; 3.3.2 Asymptotic Allocation Rule; 3.3.3 Sequential Heuristic Algorithm for Allocation; OCBA Algorithm; Alternative Simpler OCBA Procedure; 3.3.4 Numerical Results; 3.3.5 Minimization of EOC; 3.3.6 Other Variants; Subset Selection Problem; Handling Optimization with Multiple Performance Measures; Other Recent Developments; Generalized OCBA Notions; 3.4 Expected Value of Information (EVI); 3.4.1 Linear Loss (LL); Minimization of EOC; Allocation Rules; 3.4.2 Small-Sample EVI Allocation Rule (LL1); Small-Sample EVI. Sequential Algorithm3.4.3 Stopping Rules; 3.4.4 Numerical Results for LL and LL1; 3.4.5 Economics of Selection Procedures (ESP); Maximizing Expected Reward; Optimal Stopping Problem for the Special Case of k==1 Alternative; ESP Allocation Rule and Stopping Rule; 3.4.6 Other Variants of EVI; 3.5 Conclusion; References; 4 Response Surface Methodology; 4.1 Introduction; 4.2 RSM Basics; 4.3 RSM in Simulation; 4.4 Adapted Steepest Descent (ASD); 4.5 Multiple Responses: Generalized RSM; 4.6 Testing an Estimated Optimum in GRSM: KKT Conditions; 4.7 Robust Optimization; Taguchi's Robust Optimization. Ben-Tal et al.'s Robust Optimization4.8 Conclusions; References; 5 Stochastic Gradient Estimation; 5.1 Introduction; 5.2 Indirect Gradient Estimators; 5.2.1 Finite Differences; 5.2.2 Simultaneous Perturbation; 5.3 Direct Gradient Estimators; 5.3.1 Derivatives of Random Variables; 5.3.2 Derivatives of Measures; 5.3.3 Input Distribution Examples; 5.3.4 Output Examples; Stochastic Activity Network; Single-Server Queue; Variance Reduction; Higher Derivatives; 5.3.5 Rudimentary Theory; 5.3.6 Guidelines for the Practitioner; 5.4 Quantile Sensitivity Estimation.
• Publisher Details: New York : Springer Science and Business Media
• Publication Date: 2015
• Copyright Date: 2015
• Extent: 1 online resource (xvi, 387 pages), illustrations (some color)
• Subjects: 003/.76; Business; Simulation methods; Mathematical optimization; Stochastic processes; Operations research; SCIENCE -- System Theory; TECHNOLOGY & ENGINEERING -- Operations Research; Mathematical optimization; Operations research; Simulation methods; Stochastic processes; Computers -- Computer Simulation; Business & Economics -- Operations Research; Business & Economics -- Economics -- Theory; 3D graphics & modelling; Operational research; Economic theory & philosophy; Management science; Computer simulation; Economic theory; Electronic books
• Languages: English
• ISBNs: 9781493913848; 1493913840; 1493913832; 9781493913831
• Related ISBNs: 9781493913831
• Notes: Note: Includes bibliographical references and index.; Note: Vendor-supplied metadata.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.