Sampling Controlled Stochastic Recursions: Applications to Simulation Optimization and Stochastic Root Finding
We consider unconstrained Simulation Optimization (SO) problems, that is, optimization problems where the underlying objective function is unknown but can be estimated at any chosen point by repeatedly executing a Monte Carlo (stochastic) simulation. SO, introduced more than six decades ago through...
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| Format: | Others |
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Virginia Tech
2017
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| Online Access: | http://hdl.handle.net/10919/76740 |