#### Filter Results:

- Full text PDF available (43)

#### Publication Year

2000

2016

#### Publication Type

#### Co-author

#### Publication Venue

#### Key Phrases

Learn More

- Raghu Pasupathy
- Operations Research
- 2010

The stochastic root-finding problem is that of finding a zero of a vector-valued function known only through a stochastic simulation. The simulation-optimization problem is that of locating a real-valued function's minimum, again with only a stochastic simulation that generates function estimates. Retrospective approximation (RA) is a sample-path technique… (More)

We provide a review of the principle of sample-average approximation (SAA) for solving simulation-optimization problems. Our goal is to provide an accessible overview of the area and emphasize interesting recent work. We explain when one might want to use SAA and when one might expect it to provide good-quality solutions. We also review some of the key… (More)

We study control variate estimation where the control mean itself is estimated. Control variate estimation in simulation experiments can significantly increase sampling efficiency, and has traditionally been restricted to cases where the control has a known mean. In a previous paper (Schmeiser, Taaffe, and Wang 2000), we generalized the idea of control… (More)

We consider the context of " stochastic recursions, " that is, recursions that involve quantities needing to be estimated using a stochastic simulation. Examples include certain stochastic adaptations of fixed-point recursions, line search recursions, and trust-region recursions obtained by replacing function and derivative values appearing within the… (More)

- Susan R. Hunter, Raghu Pasupathy
- INFORMS Journal on Computing
- 2013

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 maximizes the rate at which the probability of false selection tends to zero.… (More)

- Raghu Pasupathy, Sujin Kim
- ACM Trans. Model. Comput. Simul.
- 2011

The stochastic root-finding problem (SRFP) is that of finding the zero(s) of a vector function, that is, solving a nonlinear system of equations when the function is expressed implicitly through a stochastic simulation. SRFPs are equivalently expressed as stochastic fixed-point problems, where the underlying function is expressed implicitly via a noisy… (More)

- Raghu Pasupathy, Shane G. Henderson
- Proceedings of the 2006 Winter Simulation…
- 2006

We propose a testbed of simulation-optimization problems. The purpose of the testbed is to encourage development and constructive comparison of simulation-optimization techniques and algorithms. We are particularly interested in increasing attention to the finite-time performance of algorithms, rather than the asymptotic results that one often finds in the… (More)

- Raghu Pasupathy, Shane G. Henderson
- Proceedings of the 2011 Winter Simulation…
- 2011

We present SimOpt --- a library of simulation-optimization problems intended to spur development and comparison of simulation-optimization methods and algorithms. The library currently has over 50 problems that are tagged by important problem attributes such as type of decision variables, and nature of constraints. Approximately half of the problems in the… (More)

- Honggang Wang, Raghu Pasupathy, Bruce W. Schmeiser
- ACM Trans. Model. Comput. Simul.
- 2013

We consider simulation-optimization (SO) models where the decision variables are integer ordered and the objective function is defined implicitly via a simulation oracle, which for any feasible solution can be called to compute a point estimate of the objective-function value. We develop R-SPLINE---a Retrospective-search algorithm that alternates between a… (More)

- Raghu Pasupathy, Susan R. Hunter, Nugroho Artadi Pujowidianto, Loo Hay Lee, Chun-Hung Chen
- ACM Trans. Model. Comput. Simul.
- 2014

Consider the context of <i>constrained</i> Simulation Optimization (SO); that is, optimization problems where the objective and constraint functions are known through dependent Monte Carlo estimators. For solving such problems on <i>large finite spaces</i>, we provide an easily implemented sampling framework called SCORE (Sampling Criteria for Optimization… (More)