Stochastic Simulation Optimization

Stochastic Simulation Optimization
Author: Chun-hung Chen
Publisher: World Scientific
Total Pages: 246
Release: 2011
Genre: Computers
ISBN: 9814282642

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With the advance of new computing technology, simulation is becoming very popular for designing large, complex and stochastic engineering systems, since closed-form analytical solutions generally do not exist for such problems. However, the added flexibility of simulation often creates models that are computationally intractable. Moreover, to obtain a sound statistical estimate at a specified level of confidence, a large number of simulation runs (or replications) is usually required for each design alternative. If the number of design alternatives is large, the total simulation cost can be very expensive. Stochastic Simulation Optimization addresses the pertinent efficiency issue via smart allocation of computing resource in the simulation experiments for optimization, and aims to provide academic researchers and industrial practitioners with a comprehensive coverage of OCBA approach for stochastic simulation optimization. Starting with an intuitive explanation of computing budget allocation and a discussion of its impact on optimization performance, a series of OCBA approaches developed for various problems are then presented, from the selection of the best design to optimization with multiple objectives. Finally, this book discusses the potential extension of OCBA notion to different applications such as data envelopment analysis, experiments of design and rare-event simulation.


Stochastic Simulation Optimization
Language: en
Pages: 246
Authors: Chun-hung Chen
Categories: Computers
Type: BOOK - Published: 2011 - Publisher: World Scientific

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With the advance of new computing technology, simulation is becoming very popular for designing large, complex and stochastic engineering systems, since closed-
Optimization of Stochastic Models
Language: en
Pages: 382
Authors: Georg Ch. Pflug
Categories: Business & Economics
Type: BOOK - Published: 1997-10-14 - Publisher: Springer

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Stochastic models are everywhere. In manufacturing, queuing models are used for modeling production processes, realistic inventory models are stochastic in natu
Stochastic Optimization Models in Finance
Language: en
Pages: 756
Authors: William T. Ziemba
Categories: Business & Economics
Type: BOOK - Published: 2006 - Publisher: World Scientific

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A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford,
Stochastic Modeling in Economics and Finance
Language: en
Pages: 394
Authors: Jitka Dupacova
Categories: Mathematics
Type: BOOK - Published: 2005-12-30 - Publisher: Springer Science & Business Media

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In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to b
Stochastic Modeling and Optimization of Manufacturing Systems and Supply Chains
Language: en
Pages: 413
Authors: J. George Shanthikumar
Categories: Business & Economics
Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media

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This volume originates from two workshops, both focusing on themes that are reflected in the title of the volume. The first workshop took place at Eindhoven Uni