A Practical Approach to Sample-path Simulation Optimization

Abstract

We propose solving continuous parametric simulation optimizations using a deterministic nonlinear optimiza- tion algorithm and sample-path simulations. The op- timization problem is written in a modeling language with a simulation module accessed with an external function call. Since we allow no changes to the sim- ulation code at all, we propose using a quadratic ap- proximation of the simulation function to obtain deriva- tives. Results on three di erent queueing models are presented that show our method to be e ective on a variety of practical problems.