RESEARCH ARTICLE

Stochastic systems simulation optimization

  • Chun-Hung CHEN , 1 ,
  • Leyuan SHI 2 ,
  • Loo Hay LEE 3
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  • 1. Department of Systems Engineering and Operations Research, George Mason University, Fairfax, VA 22030, USA
  • 2. Department of Industrial and Systems Engineering, University of Wisconsin, Madison, WI 53706-1572, USA
  • 3. Department of Industrial and Systems Engineering, National University of Singapore, Singapore 117576, Singapore

Received date: 28 Apr 2011

Accepted date: 07 Jun 2011

Published date: 05 Sep 2011

Copyright

2014 Higher Education Press and Springer-Verlag Berlin Heidelberg

Abstract

With the advance of new computational technology, stochastic systems simulation and optimization has become increasingly a popular subject in both academic research and industrial applications. This paper presents some of recent developments about the problem of optimizing a performance function from a simulation model.We begin by classifying different types of problems and then provide an overview of the major approaches, followed by a more in-depth presentation of two specific areas: optimal computing budget allocation and the nested partitions method.

Cite this article

Chun-Hung CHEN , Leyuan SHI , Loo Hay LEE . Stochastic systems simulation optimization[J]. Frontiers of Electrical and Electronic Engineering, 2011 , 6(3) : 468 -480 . DOI: 10.1007/s11460-011-0168-5

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