Surrogate-Based Simulation Optimization
Simulation models are widely used in practice to facilitate decision making in a complex, dynamic and stochastic environment. But they are computationally expensive to execute and …
High-Dimensional Simulation Optimization via Brownian Fields and Sparse Grids
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 …
