منابع مشابه
Prioritization via Stochastic Optimization
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We consider a problem commonly faced in industry, involving annual selection of plant capital investments. A typical approach to such a problem uses a multi-knapsack formulation, which takes as input the available budget in each year, the stream of liabilities induced by selecting each project, and the profit, i.e., net present value, of each project. The goal is to select the portfolio of proj...
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This paper is concerned with the use of grid search as a means of optimizing an objective function that can be evaluated only through simulation. We study the question of how rapidly the number of replications per grid point must grow relative to the number of grid points, in order to reduce the \noise" in the function evaluations and guarantee consistency. This question is studied in the conte...
متن کاملStochastic Analysis via Robust Optimization
To evaluate the performance and optimize systems under uncertainty, two main avenues have been suggested in the literature: stochastic analysis and optimization describing the uncertainty probabilistically and robust optimization describing the uncertainty deterministically. Instead, we propose a novel paradigm which leverages the conclusions of probability theory and the tractability of the ro...
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ژورنال
عنوان ژورنال: Management Science
سال: 2015
ISSN: 0025-1909,1526-5501
DOI: 10.1287/mnsc.2013.1865