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Simulation is widely used to evaluate the performance and optimize the design of a complex system. In the past few decades, a great deal of research has been devoted to solving simulation optimization problems, perhaps owing to their generality. However, although there are many problems of practical interests that can be cast in the framework of simulation optimization, it is often difficult to obtain...
Continuous-variable simulation optimization problems are those optimization problems where the objective function is computed through stochastic simulation and the decision variables are continuous. We discuss verifiable conditions under which the objective function is continuous or differentiable, and outline some key properties of two classes of methods for solving such problems, namely sample-average...
We assume the existence of a parameterized family of control variates that could be used in a regenerative steady-state simulation. We show how such controls can be generated in the Markov-process setting, discuss the optimization problem of searching for a good choice of parameterization, and develop a strong law and central limit theorem for the resulting estimator.
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