An Optimization Algorithm for a Linear Model of a Simulation System

This paper explores the normative theory of simulation within the context of an optimization algorithm for a linear programming model of the experimental setting. The simulation is viewed as a random generalized mathematical function which provides an uncertain evaluation of any policy within a specified constraint set. A sequential experimental design aimed at identifying the feasible levels of the policy variables which provide the optimal level of expected response is presented and analyzed. The results of numerical tests of the proposed procedure are discussed.

• 저널Management Science · 21(5) · 516–530
• 토픽Optimal Experimental Design Methods · Management Science and Operations Research
• DOI10.1287/mnsc.21.5.516
• 저자Basil A. Kalymon