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A Review of Random Search Methods

In: Handbook of Simulation Optimization

Author

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  • Sigrún Andradóttir

    (Georgia Institute of Technology)

Abstract

This chapter provides a brief review of random search methods for simulation optimization. We start by describing the structure of random search when system performance is estimated via simulation. Next, we discuss methods for solving simulation optimization problems with discrete decision variables and one (stochastic) performance measure, with emphasis on simulated annealing. Finally, we expand our scope to address simulation optimization problems with continuous decision variables and/or multiple (stochastic) performance measures.

Suggested Citation

  • Sigrún Andradóttir, 2015. "A Review of Random Search Methods," International Series in Operations Research & Management Science, in: Michael C Fu (ed.), Handbook of Simulation Optimization, edition 127, chapter 0, pages 277-292, Springer.
    • Handle: RePEc:spr:isochp:978-1-4939-1384-8_10
    DOI: 10.1007/978-1-4939-1384-8_10
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