Nested simulation concerns estimating functionals of a conditional expectation via simulation. In this paper, we propose a new method based on kernel ridge regression to exploit …
Stochastic kriging has been widely employed for simulation metamodeling to predict the response surface of complex simulation models. However, its use is limited to cases where the …
High-dimensional simulation optimization is notoriously challenging. We propose a new sampling algorithm that converges to a global optimal solution and suffers minimally from the …
This paper considers the problem of ranking and selection with covariates (R&S-C), which is first introduced by Shen et al. (2017) and aims to identify a decision rule that …
