%A Chun-Hung CHEN, Leyuan SHI, Loo Hay LEE %T Stochastic systems simulation optimization %0 Journal Article %D 2011 %J Front. Electr. Electron. Eng. %J Frontiers of Electrical and Electronic Engineering %@ 2095-2732 %R 10.1007/s11460-011-0168-5 %P 468-480 %V 6 %N 3 %U {https://journal.hep.com.cn/fee/EN/10.1007/s11460-011-0168-5 %8 2011-09-05 %X

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.