A tutorial review of techniques for simulation optimization

@inproceedings{Fu1994ATR,
  title={A tutorial review of techniques for simulation optimization},
  author={Michael C. Fu},
  booktitle={Winter Simulation Conference},
  year={1994}
}
We review techniques for optimizing stochastic discrete-event systems via simulation, for both discrete and continuous parameters. For discrete parameters, we focus on the techniques for optimization from a finite set: multiple-comparison procedures and ranking-and-selection procedures. For continuous parameters, we discuss sequential response surface methodology procedures and stochastic approximation gradient-based procedures, and describe gradient estimation based on perturbation analysis… CONTINUE READING
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