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Glasserman}, TITLE = {Estimating derivatives via {P}oisson's equation}, YEAR = {1991}, JOURNAL = {Probability in the Engineering and Informational Sciences}, VOLUME = {5}, NUMBER = {4}, PAGES = {415-428} } @INPROCEEDINGS {oFOX92a, AUTHOR="B. L. Fox", TITLE="Uniting Probabilistic Algorithms for Optimization", BOOKTITLE={Proceedings Winter Simulation Conference}, PUBLISHER="{IEEE} Press", address = {Piscataway, NJ}, YEAR={1992}, PAGES={500--505} } @ARTICLE {oFOX93a, AUTHOR="B. L. Fox", YEAR={1993}, TITLE="Integrating and Accelerating Tabu Search, Simulated Annealing, and Genetic Algorithms", JOURNAL={Annals of Operations Research}, VOLUME={41}, PAGES={47--67} } @TECHREPORT {oFOX93b, AUTHOR="B. L. Fox and B. Simon", TITLE="Rarity, Spectral Radii, and Left Eigenvectors", INSTITUTION={University of Colorado, Denver}, YEAR={1993} } @ARTICLE {oFOX94a, AUTHOR="B. L. Fox", YEAR={1994}, TITLE="Random Restarting Versus Simulated Annealing", JOURNAL={Computers and Mathematics with Applications}, VOLUME={27}, PAGES={33--35} } @INCOLLECTION {oFOX95a, AUTHOR="B. L. Fox", TITLE={Simulated Annealing: Folklore, Facts, and Directions}, BOOKTITLE={{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods in Scientific Computing}, PUBLISHER={Springer-Verlag, Berlin}, EDITOR={H. Niederreiter and P. J.-S. Shiue}, SERIES={Lecture Notes in Statistics}, NUMBER={106}, YEAR={1995}, PAGES={17--48} } @INCOLLECTION {oFOX95b, AUTHOR="B. L. Fox and G. W. Heine", TITLE="Stable Estimators for Self-Adjusting Simulations", BOOKTITLE={{M}onte {C}arlo and Quasi-{M}onte {C}arlo Methods in Scientific Computing}, PUBLISHER={Springer-Verlag, Berlin}, EDITOR={H. Niederreiter and P. J.-S. Shiue}, SERIES={Lecture Notes in Statistics}, NUMBER={106}, YEAR={1995}, PAGES={205--212} } @ARTICLE {oFOX95c, AUTHOR="B. L. Fox", TITLE="Uprooting Simulated Annealing and Genetic Algorithms", JOURNAL={Newsletter of SIAM Activity Group on Optimization (SIAG/OPT)}, Month = {Fall}, YEAR={1995}, PAGES={5--9} } @ARTICLE {oFOX95d, AUTHOR="B. L. Fox", YEAR={1995}, TITLE="Faster Simulated Annealing", JOURNAL={SIAM Journal on Optimization}, VOLUME={5}, PAGES={488--505} } @ARTICLE {oFOX95e, AUTHOR="B. L. Fox and G. W. Heine", YEAR={1995}, TITLE="Probabilistic Search with Overrides", JOURNAL={Annals of Applied Probability}, VOLUME={5}, PAGES={1087--1094} } @BOOK {oFOX96a, AUTHOR="B. L. Fox and P. L'Ecuyer", YEAR={2000+}, TITLE="Efficiency Improvment for Monte Carlo Simulation", NOTE={In preparation} } @INPROCEEDINGS {oFU88a, AUTHOR="M. C. Fu. and Y.-C. Ho", TITLE="Using Perturbation Analysis for Gradient Estimation, Averaging and Updating in a Stochastic Approximation Algorithm", BOOKTITLE={Proceedings of the 1988 Winter Simulation Conference}, PUBLISHER={IEEE Press}, address = {Piscataway, NJ}, YEAR={1988}, PAGES={509--517} } @ARTICLE {oFU90a, AUTHOR="M. C. Fu", TITLE="Convergence of a Stochastic Approximation Algorithm for the $GI/G/1$ Queue Using Infinitesimal Perturbation Analysis", JOURNAL={Journal of Optimization Theory and Applications}, VOLUME={65}, NUMBER={1}, YEAR={1990}, PAGES={149--160} } @ARTICLE {oFU93a, AUTHOR="M. C. Fu and J.-Q. Hu", YEAR={1993}, TITLE="Second Derivative Sample Path Estimators for the $GI/G/m$ Queue", JOURNAL={Management Science}, VOLUME={39}, NUMBER={3}, MONTH={March}, PAGES={359--383} } @INPROCEEDINGS {oFU93b, AUTHOR="M. C. Fu. and J.-Q. Hu and L. Shi", TITLE="An Application of Perturbation Analysis to a Replacement Problem in Maintenance Theory", BOOKTITLE={Proceedings of the 1993 Winter Simulation Conference}, editor = {G. W. Evans and M. Mollaghasemi and E. C. Russell and W. E. Biles}, PUBLISHER={IEEE Press}, address = {Piscataway, NJ}, YEAR={1993}, PAGES={329--337} } @ARTICLE {oFU94a, AUTHOR="M. C. Fu", TITLE="Optimization by Simulation: A Review", JOURNAL={Annals of Operations Research}, VOLUME={53}, YEAR={1994}, PAGES={199--247} } @Book{oFU97a, old = {oFU98a}, author = {M. Fu and J.-Q. Hu}, title = {Conditional {M}onte {C}arlo: Gradient Estimation and Optimization Applications}, publisher = {Kluwer Academic}, year = {1997}, OPTseries = {}, address = {Boston}, OPTannote = {} } @ARTICLE {oFU02a, AUTHOR="M. C. Fu", TITLE="Optimization for Simulation: Theory vs Practice", JOURNAL={{INFORMS} Journal on Computing}, VOLUME={14}, NUMBER={3}, YEAR={2002}, PAGES={192--215}, note={(see also the commentaries on pages 217--227)} } @INCOLLECTION {oFU06a, AUTHOR = {M. C. Fu}, TITLE={Gradient Estimation}, BOOKTITLE={Simulation}, series={Handbooks in Operations Research and Management Science}, EDITOR={S. G. Henderson and B. L. Nelson}, PUBLISHER={Elsevier}, ADDRESS={Amsterdam, The Netherlands}, YEAR={2006}, note = {Chapter 19}, PAGES = {575--616} } @INPROCEEDINGS {oGAI92a, AUTHOR="A. Gaivoronski", TITLE="Optimization of Stochastic Discrete Event Dynamic Systems: A Survey of Some Recent Results", BOOKTITLE={Lecture Notes in Economics and Mathematical Systems}, VOLUME={374}, YEAR={1992}, NOTE={Proceedings of the 1990 Vienna Conference on Computationally Intensive Methods in Simulation and Optimization}, EDITOR={G. Pflug and U. Dieter}, PAGES={24--44} } @Unpublished{oGAN01a, author = {N. Gans and Y.-P. Zhou}, title = {A Call-Routing Problem with Service-Level Constraints}, note = {Manuscript, The Wharton School, Philadelphia}, OPTkey = {}, OPTmonth = {}, OPTyear = {2001}, OPTannote = {} } @ARTICLE {oGEL89a, AUTHOR="S. B. Gelfand and S. K. Mitter", TITLE="Simulated Annealing with Noisy or Imprecise Measurements", JOURNAL={Journal of Optimization Theory and Applications}, VOLUME={62}, YEAR={1989}, PAGES={49--62} } @book {oGER77a, AUTHOR="I. B. Gertsbakh", TITLE="Models of Preventive Maintenance", YEAR={1977}, address={Amsterdam, The Netherlands}, PUBLISHER={North Holland} } @MASTERSTHESIS {oGIR89a, AUTHOR="N. Giroux", TITLE={Optimisation Stochastique de Type {M}onte {C}arlo}, SCHOOL={D{\'e}pt. d'Informatique, Univ. Laval}, LANGUAGE={French}, MONTH={Jan}, YEAR={1989} } @INPROCEEDINGS {oGLA88a, AUTHOR="P. Glasserman", YEAR={1988}, TITLE="Performance Continuity and Differentiability in {M}onte {C}arlo Optimization", BOOKTITLE={Proceedings of the 1988 Winter Simulation Conference}, PUBLISHER={IEEE Press}, address = {Piscataway, NJ}, PAGES={518--524} } @UNPUBLISHED {oGLA88b, AUTHOR="P. Glasserman", YEAR={1988}, TITLE="Structural Conditions for Perturbation Analysis Derivative Estimation: Finite-Time Performance Indices", NOTE={Manuscript}, INSTITUTION={Harvard University} } @UNPUBLISHED {oGLA88c, AUTHOR="P. Glasserman", YEAR={1988}, TITLE="Structural Conditions for Perturbation Analysis of Queueing Systems", NOTE={Manuscript}, INSTITUTION={Harvard University} } @article {oGLA88d, AUTHOR = {Glasserman, Paul}, TITLE = {Infinitesimal perturbation analysis of a birth and death process}, JOURNAL = {Operations Research Letters}, VOLUME = {7}, YEAR = {1988}, NUMBER = {1}, PAGES = {43--49}, } @TECHREPORT {oGLA89a, AUTHOR="P. Glasserman", TITLE="Derivative Estimates from Simulation of Continuous-Time Markov Chains", LANGUAGE={English}, INSTITUTION={AT\&T Bell Laboratories Holmdel}, YEAR={1989} } @UNPUBLISHED {oGLA90a, AUTHOR="P. Glasserman", YEAR={1990}, TITLE="Stochastic Monotonicity, Total Positivity, and Conditional {M}onte {C}arlo for Likelihood Ratios", INSTITUTION={AT{\&}T Bell Laboratories}, ADDRESS={Holmdel, New Jersey}, NOTE={Manuscript} } @ARTICLE {oGLA90b, AUTHOR="P. Glasserman and W. B. Gong", YEAR={1990}, TITLE="Smoothed Perturbation Analysis for a Class of Discrete-Event Systems", JOURNAL={{IEEE} Transactions on Automatic Control}, VOLUME={AC-35}, NUMBER={11}, PAGES={1218--1230} } @article {oGLA90c, AUTHOR = {Glasserman, Paul}, TITLE = {Discrete-time ``inversion'' and derivative estimation for {M}arkov chains}, JOURNAL = {Operations Research Letters}, VOLUME = {9}, YEAR = {1990}, NUMBER = {5}, PAGES = {305--313}, } @article {oGLA90d, AUTHOR = {Glasserman, Paul}, TITLE = {The limiting value of derivative estimators based on perturbation analysis}, JOURNAL = {Communications in Statistics---Stochastic Models}, VOLUME = {6}, YEAR = {1990}, NUMBER = {2}, PAGES = {229--257}, } @BOOK {oGLA91a, AUTHOR="P. Glasserman", YEAR={1991}, TITLE={Gradient Estimation Via Perturbation Analysis}, PUBLISHER={Kluwer Academic}, ADDRESS={Norwell, MA} } @article {oGLA91b, AUTHOR = {Glasserman, Paul}, TITLE="Structural Conditions for Perturbation Analysis Derivative Estimation: Finite-Time Performance Indices", JOURNAL = {Operations Research}, VOLUME = {39}, YEAR = {1991}, NUMBER = {5}, PAGES = {724--738}, } @article {oGLA91d, old = {oGLA90c}, AUTHOR = {Glasserman, Paul and Hu, Jian Qiang and Strickland, Stephen G.}, TITLE = {Strongly consistent steady-state derivative estimates}, JOURNAL = {Probability in the Engineering and Informational Sciences}, VOLUME = {5}, YEAR = {1991}, NUMBER = {4}, PAGES = {391--413}, } @article {oGLA91e, AUTHOR = {Glasserman, Paul}, TITLE = {Structural conditions for perturbation analysis of queuing systems}, JOURNAL = {Journal of the {ACM}}, VOLUME = {38}, YEAR = {1991}, NUMBER = {4}, PAGES = {1005--1025}, } @article {oGLA92a, AUTHOR = {Glasserman, Paul}, TITLE = {Smoothing complements and randomized score functions}, JOURNAL = {Annals of Operations Research}, VOLUME = {39}, YEAR = {1992}, NUMBER = {1-4}, PAGES = {41--67 (1993)}, } @article {oGLA92b, AUTHOR = {Glasserman, Paul}, TITLE = {Stationary waiting time derivatives}, JOURNAL = {Queueing Systems. Theory and Applications}, VOLUME = {12}, YEAR = {1992}, NUMBER = {3-4}, PAGES = {369--389}, } @article {oGLA92c, old = {oGLA89a}, old = {oGLA91c}, AUTHOR = {Glasserman, Paul}, TITLE = {Derivative estimates from simulation of continuous-time {M}arkov chains}, JOURNAL = {Operations Research}, VOLUME = {40}, YEAR = {1992}, NUMBER = {2}, PAGES = {292--308}, } @article {oGLA93a, AUTHOR = {Glasserman, Paul}, TITLE = {Regenerative derivatives of regenerative sequences}, JOURNAL = {Advances in Applied Probability}, VOLUME = {25}, YEAR = {1993}, NUMBER = {1}, PAGES = {116--139}, } @ARTICLE {oGLO93a, AUTHOR="F. Glover and M. Laguna", YEAR={1993}, TITLE="Tabu Search", JOURNAL={Discrete Applied Mathematics}, VOLUME={49}, PAGES={231--255} } @INPROCEEDINGS {oGLO93b, AUTHOR="F. Glover and M. Laguna", TITLE="Tabu Search", BOOKTITLE={Modern Heuristic Techniques for Combinatorial Problems}, YEAR={1993}, PAGES={70--150}, ADDRESS={Oxford}, PUBLISHER="C. Reeves" } @ARTICLE {oGLO94a, AUTHOR="F. Glover", YEAR={1994}, TITLE="Tabu Search for Nonlinear and Parametric Optimization (with Links to Genetic Algorithms)", JOURNAL={Discrete Applied Mathematics}, VOLUME={49}, PAGES={231--255} } @ARTICLE {oGLO94b, AUTHOR="F. Glover", YEAR={1994}, TITLE="Genetic Algorithms ans Scatter Search: Unsuspected Potentials", JOURNAL={Statistics and Computing}, VOLUME={4}, PAGES={131--140} } @ARTICLE {oGLO95a, AUTHOR="F. Glover", YEAR={1995}, TITLE="Scatter Search and Star-Paths: Beyond the Genetic Metaphor", JOURNAL={OR Spektrum}, VOLUME={17}, NOTE={to appear}, PAGES={ } } @INPROCEEDINGS {oGLO99a, AUTHOR="F. Glover and J. P. Kelly and M. Laguna", YEAR={1999}, TITLE="New Advances for Wedding Optimization and Simulation", BOOKTITLE={Proceedings of the 1999 Winter Simulation Conference}, PUBLISHER={IEEE Press}, address = {Piscataway, NJ}, PAGES={255--260} } @ARTICLE {oGLO99b, AUTHOR="F. Glover", YEAR={1999}, TITLE="Genetic Algorithms ans Scatter Search: Unsuspected Potentials", JOURNAL={Statistics and Computing}, VOLUME={4}, PAGES={131--140} } @INPROCEEDINGS {oGLY86a, AUTHOR="P. W. Glynn", YEAR={1986}, TITLE="Stochastic Approximation for {M}onte-{C}arlo Optimization", BOOKTITLE={Proceedings of the 1986 Winter Simulation Conference}, PUBLISHER={IEEE Press}, address = {Piscataway, NJ}, PAGES={356--364} } @INPROCEEDINGS {oGLY86b, AUTHOR="P. W. Glynn", YEAR={1986}, TITLE="Optimization of Stochastic Systems via Simulation", BOOKTITLE={Proceedings of the 1986 Winter Simulation Conference}, PUBLISHER={IEEE Press}, address = {Piscataway, NJ}, PAGES={52--59} } @INPROCEEDINGS {oGLY87a, AUTHOR="P. W. Glynn", YEAR={1987}, TITLE="Likelihood Ratio Gradient Estimation: an Overview", BOOKTITLE={Proceedings of the 1987 Winter Simulation Conference}, PUBLISHER={IEEE Press}, address = {Piscataway, NJ}, PAGES={366--375} } @ARTICLE {oGLY88a, AUTHOR="P. W. Glynn and D. L. Iglehart", YEAR={1988}, TITLE="Simulation Methods for Queues: an Overview", JOURNAL={Queueing Systems}, VOLUME={3}, PAGES={221--255} } @INPROCEEDINGS {oGLY89a, AUTHOR="P. W. Glynn", YEAR={1989}, TITLE="Optimization of Stochastic Systems Via Simulation", BOOKTITLE={Proceedings of the 1989 Winter Simulation Conference}, PUBLISHER={IEEE Press}, address = {Piscataway, NJ}, PAGES={90--105} } @ARTICLE {oGLY89b, AUTHOR="P. W. Glynn", YEAR={1989}, TITLE="A {GSMP} Formalism for Discrete Event Systems", JOURNAL={Proceedings of the IEEE}, VOLUME={77}, PAGES={14--23} } @ARTICLE {oGLY90a, AUTHOR="P. W. Glynn", YEAR={1990}, TITLE="Likelihood Ratio Gradient Estimation for Stochastic Systems", JOURNAL={Communications of the ACM}, VOLUME={33}, NUMBER={10}, PAGES={75--84} } @ARTICLE {oGLY90b, AUTHOR="P. W. Glynn and P. Heidelberger", YEAR={1990}, TITLE="Bias Properties of Budget Constrained Simulations", JOURNAL={Operations Research}, VOLUME={38}, NUMBER={5}, PAGES={801--814} } @INPROCEEDINGS {oGLY91a, AUTHOR="P. W. Glynn and P. L'Ecuyer and M. Ad{\`e}s", TITLE="Gradient Estimation for Ratios", BOOKTITLE={Proceedings of the 1991 Winter Simulation Conference}, editor = {B. L. Nelson and W. D. Kelton and G. M. Clark}, PUBLISHER={IEEE Press}, address = {Piscataway, NJ}, YEAR={1991}, PAGES={986--993} } @ARTICLE {oGLY92a, AUTHOR="P. W. Glynn", YEAR={1992}, TITLE="Pathwise Convexity and Its Relation to Convergence of Time-Average Derivatives", JOURNAL={Management Science}, VOLUME={38}, NUMBER={9}, PAGES={1360--1366} } @ARTICLE {oGLY92b, AUTHOR="P. W. Glynn and W. Whitt", YEAR={1992}, TITLE="The Asymptotic Efficiency of Simulation Estimators", JOURNAL={Operations Research}, VOLUME={40}, NUMBER={3}, PAGES={505--520} } @INPROCEEDINGS {oGLY94b, AUTHOR="P. W. Glynn and P. L'Ecuyer", TITLE="On the Existence and Estimation of Performance Measure Derivatives for Stochastic Recursions", NOTE={Proceedings of the 11th International Conference on Analysis and Optimization of Systems}, BOOKTITLE={Lectures Notes in Control and Information Sciences}, VOLUME={199}, YEAR={1994}, MONTH={June}, PAGES={429--435} } @ARTICLE {oGLY95a, old="oGLY94a", AUTHOR="P. W. Glynn and P. L'Ecuyer", TITLE="Likelihood Ratio Gradient Estimation for Regenerative Stochastic Recursions", JOURNAL={Advances in Applied Probability}, VOLUME={27}, YEAR={1995}, PAGES={1019--1053} } @article{oGOF92a, author = {J.-L. Goffin and J.-P. Vial}, title = {Decomposition and Non-differentiable Optimization with the Projective Algorithm}, journal = {Management Science}, year = {1992}, volume = {38}, number = {2}, pages = {284--302}, OPTnote = {}, OPTannote = {} } @TechReport{oGOF99a, author = {J.-L. Goffin and A. Haurie and J.-P. Vial}, title = {Convex Non-differentiable Optimization: A Survey Focused on the Analytic Center Cutting Plane Method}, institution = {Cahiers du {GERAD}}, year = {1999}, number = {G-99-17}, address = {\'Ecole des H.E.C., Montr\'eal}, OPTnote = {}, OPTannote = {} } @article{oGOL70a, author = {D. Goldfarb}, title = {A Family of Variable-Metric Methods Derived by Variational Means}, journal = {Mathematics of Computation}, volume = {24}, number = {109}, year = {1970}, pages = {23--26}, note = {}, } @ARTICLE {oGOL88a, AUTHOR="L. Goldstein", TITLE="On the Choice of Step Size in the {R}obbins--{M}onro Procedure", JOURNAL={Statistics and Probability Letters}, VOLUME={6}, YEAR={1988}, PAGES={299--303} } @book{oGOL89a, author = {D. E. Goldberg}, title = {Genetic Algorithms in Search, Optimization and Machine Learning}, year = {1989}, isbn = {0201157675}, edition = {first}, publisher = {Addison-Wesley Longman Publishing Co.}, address = {Boston, MA, USA}, } @ARTICLE {oGON87a, AUTHOR="W. B. Gong and Y.-C. Ho", YEAR={1987}, TITLE="Smoothed (Conditional) Perturbation Analysis of Discrete Event Dynamical Systems", JOURNAL={IEEE Transactions on Automatic Control}, VOLUME={AC-32}, NUMBER={10}, PAGES={858--866} } @INPROCEEDINGS {oGON88a, AUTHOR="W.-B. Gong", YEAR={1988}, TITLE="Smoothed Perturbation Analysis Algorithm for a $GI/G/1$ Routing Problem", BOOKTITLE={Proceedings of the 1988 Winter Simulation Comference}, PUBLISHER={IEEE Press}, address = {Piscataway, NJ}, PAGES={525--531} } @TECHREPORT {oGOY89a, AUTHOR="A. Goyal and P. Shahabuddin and P. Heildelberger and V. F Nicola and P. W. Glynn", TITLE="A Unified Framework for Simulating Markovian Models of Highly Dependable Systems", LANGUAGE={English}, NUMBER={RC 14772}, INSTITUTION={IBM Research Division}, YEAR={1989} } @ARTICLE {oGRE86a, AUTHOR="J. W. Greene and K. J. Supowit", TITLE="Simulated Annealing Without Rejected Moves", JOURNAL="{IEEE} Press", VOLUME={5}, YEAR={1986}, PAGES={221--228} } @BOOK {oGUT88a, AUTHOR="A. Gut", TITLE={Stopped Random Walks; Limit Theorems and Applications}, PUBLISHER={Springer-Verlag}, YEAR={1988} } @ARTICLE {oGYO96a, AUTHOR = {L. Gy{\"o}rfi and H. Walk}, TITLE = {On the Averaged Stochastic Approximation for Linear Regression}, YEAR = {1996}, JOURNAL = {SIAM Journal on Control and Optimization}, VOLUME = {34}, PAGES = {31--61} } @ARTICLE {oHAA91a, AUTHOR="H. Haario and E. Saksman", YEAR={1991}, TITLE="Simulated Annealing Process in General State Space", JOURNAL={Adv. Appl. Prob.}, VOLUME={23}, PAGES={866--893} } @ARTICLE {oHAJ88a, AUTHOR="B. Hajek", TITLE="Cooling Schedules for Optimal Annealing", JOURNAL="Math. Oper. Res.", VOLUME={13}, YEAR={1988}, PAGES={311--329} } @ARTICLE {oHAJ89a, AUTHOR="B. Hajek and G. Sasaki", TITLE="Simulated Annealing to Cool$--$or Not", JOURNAL="Syst. Contr. Lett.", VOLUME={12}, YEAR={1989}, PAGES={443--447} } @ARTICLE {oHAU86a, AUTHOR="A. Haurie and P. L'Ecuyer", YEAR={1986}, TITLE="Approximation and Bounds in Discrete Event Dynamic Programming", JOURNAL={IEEE Trans. on Automatic Control}, VOLUME={AC-31}, NUMBER={3}, PAGES={227--235} } @INPROCEEDINGS {oHAU90a, AUTHOR="A. Haurie and {Ch. Van Delft} and P. L'Ecuyer", TITLE="Optimization by Simulation in Manufacturing Flow Control Models", BOOKTITLE={Proceedings, Rensselaer's Second International Conference On Computer Integrated Manufacturing}, ADDRESS={Troy, New York}, PUBLISHER={IEEE Press}, MONTH={May}, YEAR={1990}, PAGES={214--221} } @INPROCEEDINGS {oHAU90b, AUTHOR="A. Haurie and P. L'Ecuyer and {Ch. Van Delft}", TITLE="Monte Carlo Optimization of Parametrized Policies in a Class of Piecewise Deterministic Control Systems Arising in Manufacturing Flow Control", BOOKTITLE={Proceedings of the 29th IEEE Conference on Decision and Control}, ADDRESS={Honolulu, Hawaii}, MONTH={Dec}, YEAR={1990}, PAGES={587--589} } @ARTICLE {oHAU94a, AUTHOR="A. Haurie and P. L'Ecuyer and {Ch. Van Delft}", TITLE="{M}onte-{C}arlo Optimization of Parametrized Policies in a Class of Piecewise Deterministic Control Systems Arising in Manufacturing Flow Control", JOURNAL={Discrete Event Dynamic Systems: Theory and Applications }, YEAR={1994}, VOLUME={4}, NUMBER={1}, PAGES={87--111} } @ARTICLE {oHEI88a, AUTHOR="P. Heidelberger and X.-R. Cao and M. A. Zazanis and R. Suri", YEAR={1988}, TITLE="Convergence Properties of Infinitesimal Pertubation Analysis Estimates", JOURNAL={Management Science}, VOLUME={34}, NUMBER={11}, PAGES={1281--1302} } @ARTICLE {oHEI89a, AUTHOR="P. Heidelberger and D. Towsley", YEAR={1989}, TITLE="Sensitivity Analysis from Sample Paths using Likelihoods", JOURNAL={Management Science}, VOLUME={35}, NUMBER={12}, PAGES={1475--1488} } @PHDTHESIS {oHEI94a, AUTHOR="G. W. Heine", TITLE="Smart Simulated Annealing", LANGUAGE={English}, TYPE={Dissertation (thesis)}, SCHOOL={University of Colorado}, ADDRESS="Denver", YEAR={1994} } @UNPUBLISHED {oHEI95a, AUTHOR="G. W. Heine", YEAR={1995}, TITLE="Convergence Properties of a Loop-skipping Algorithm for Simulated Annealing", NOTE={In preparation} } @UNPUBLISHED {oHEI95b, AUTHOR="G. W. Heine", YEAR={1995}, TITLE="Pathwise Convergence for Simulated Annealing with an Adaptive Schedule", INSTITUTION = {University of Colorado, Denver}, NOTE = {Manuscript} } @BOOK {oHIL90a, AUTHOR="F. S. Hillier and G. J. Lieberman", TITLE={Introduction to Operations Research}, PUBLISHER={McGraw-Hill}, EDITION={Fifth}, YEAR={1990} } @INPROCEEDINGS {oHIL94a, AUTHOR="S. D. Hill and M. C. Fu", TITLE="Simulation Optimization via Simultaneous Perturbation Stochastic Approximation", BOOKTITLE={Proceedings of the Winter Simulation Conference}, EDITOR={J. D. Tew and S. Manivannan and D. A. Sadowski and A. F. Seila}, address = {Piscataway, NJ}, YEAR={1994}, PAGES={1461--1464} } @ARTICLE {oHIL95a, AUTHOR="S. D. Hill and M. C. Fu", YEAR={1995}, TITLE="Optimization Via Simulation: Numerical Experiments and Convergence Analysis for Transit and Queueing Networks", JOURNAL={Transactions of the Institute of Industrial Engineering}, NOTE={Submitted}, PAGES={xxx} } @BOOK{oHIL05a, AUTHOR={Frederick S. Hillier and Gerald J. Lieberman}, TITLE={Introduction to Operations Research}, edition={eighth}, PUBLISHER={McGraw-Hill}, ISBN={0-07-252744-7}, YEAR={2005} } @ARTICLE {oHO79a, AUTHOR="Y. C. Ho and M. A. Eyler and T. T. Chien", YEAR={1979}, TITLE="A Gradient Technique for General Buffer Storage Design in a Serial Production Line", JOURNAL={International Journal of Production Research}, VOLUME={17}, PAGES={557--580} } @ARTICLE {oHO83a, AUTHOR="Y.-C. Ho and X.-R. Cao", YEAR={1983}, TITLE="Perturbation Analysis and Optimization of Queueing Networks", JOURNAL={Journal of Optimization Theory and Applications}, VOLUME={40}, PAGES={559--582} } @ARTICLE {oHO87a, AUTHOR="Y.-C. Ho", YEAR={1987}, TITLE="Performance Evaluation and Perturbation Analysis of Discrete Event Dynamic Systems", JOURNAL={IEEE Transactions on Automatic Control}, VOLUME={AC-32}, NUMBER={7}, PAGES={563--572} } @ARTICLE {oHO88a, AUTHOR="Y.-C. Ho and S. Li", YEAR={1988}, TITLE="Extensions to the Perturbation Analysis Techniques for Discrete Event Dynamic Systems", JOURNAL={IEEE Transactions on Automatic Control}, VOLUME={33}, NUMBER={5}, PAGES={427--438} } @UNPUBLISHED {oHO90a, AUTHOR="Y.-C Ho and S. G. Strickland", YEAR={1990}, TITLE="A Taxonomy of Perturbation Analysis Techniques", NOTE={Manuscript}, INSTITUTION={Harvard University} } @BOOK {oHO91a, AUTHOR="Y.-C. Ho and X.-R. Cao", TITLE={Discrete-Event Dynamic Systems and Perturbation Analysis}, PUBLISHER={Kluwer Academic}, ADDRESS={Norwell, MA}, YEAR={1991} } @ARTICLE {oHO92a, AUTHOR="Y.-C. Ho and R. Sreenivas and P. Vakili", YEAR={1992}, TITLE="Ordinal Optimization of {DEDS}", JOURNAL={Discrete Event Dynamic Systems: Theory and Applications}, VOLUME={2}, PAGES={61--88} } @ARTICLE {oHO95a, AUTHOR="Y.-C. Ho and M. E. Larson", YEAR={1995}, TITLE="Ordinal Optimization Approach to Rare Event Probability Problems", JOURNAL={Discrete Event Dynamic Systems: Theory and Applications}, VOLUME={5}, PAGES={281--301} } @ARTICLE {oHO00a, AUTHOR="Y.-C. Ho and C. G. Cassandras and C. H. Chen and L. Y. Dai", YEAR={2000}, TITLE="Ordinal Optimization and Simulation", JOURNAL={Journal of the Operational Research Society}, VOLUME={51}, PAGES={490--500} } @Article{oHOM03a, author = {T. Homem-de-Mello}, title = {Variable-Sample methods for Stochastic Optimization}, journal = {{ACM} Transactions on Modeling and Computer Simulation}, year = {2003}, volume = {13}, number = {2}, pages = {108--133}, OPTannote = {random search} } @ARTICLE {oHU91b, AUTHOR="J. Q. Hu and S. G. 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Yin}, TITLE={Stochastic Approximation Algorithms and Applications}, PUBLISHER={Springer Verlag}, ADDRESS={New York}, edition={second}, YEAR={2003} } @ARTICLE {oLAI81a, AUTHOR="T. L. Lai and H. {R}obbins", TITLE="Consistency and Asymptotic Efficiency of Slope Estimates in Stochastic Approximation Schemes", JOURNAL={Zeitschrift f{\"u}r Wahrscheinlichkeitstheorie und Verwandte Gebiete}, VOLUME={56}, YEAR={1981}, PAGES={329--360} } @ARTICLE {oLAI95a, AUTHOR="T. L. Lai and S. Yakowitz", TITLE="Machine Learning and Nonparametric Bandit Theory", JOURNAL={IEEE Transactions on Automatic Control}, VOLUME={40}, YEAR={1995}, PAGES={1199--1210} } @inproceedings{oLAR99a, author = {P. Larra{\~{n}}aga and R. Etxeberria and J. A. Lozano and B. Sierra and I. Inza and J. M. Pe{\~{n}}a}, title = {{A Review of the Cooperation between Evolutionary Computation and Probabilistic Graphical Models}}, booktitle = {Proceedings of the Second Symposium on Artificial Intelligence (CIMAF-99)}, editor = {Ochoa, A. and Soto, M. R. and Santana, R.}, month = {march}, pages = {314--324}, year = {1999}, address = {Habana, Cuba} } @BOOK {oLAW91a, AUTHOR="A. M. Law and W. D. Kelton", YEAR={1991}, TITLE={Simulation Modelling and Analysis}, EDITION={second}, PUBLISHER={McGraw-Hill} } @phdthesis {oLEC83a, AUTHOR="P. L'Ecuyer", TITLE={Processus de D\'ecision Markoviens \`a \'Etapes Discr\`etes: Application \`a des Probl\`emes de Remplacement d'\'Equipement }, SCHOOL={D{\'e}pt. d'IRO, Universit\'e de Montr\'eal}, LANGUAGE={French}, YEAR={1983} } @ARTICLE {oLEC85a, AUTHOR="P. L'Ecuyer and A. Haurie and A. 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L'Ecuyer", YEAR={1992}, TITLE="Convergence Rates for Steady-State Derivative Estimators", JOURNAL={Annals of Operations Research}, VOLUME={39}, PAGES={121--136} } @INPROCEEDINGS {oLEC92b, AUTHOR="P. L'Ecuyer and N. Giroux and P. W. Glynn", TITLE="Experimental Results for Gradient Estimation and Optimization of a {M}arkov Chain in Steady-State", EDITOR={G. Pflug and U. Dieter}, BOOKTITLE={Proceedings of the 1990 Vienna Conference on Computationally Intensive Methods in Simulation and Optimization}, VOLUME={374}, PUBLISHER={Springer-Verlag}, YEAR={1992}, PAGES={14--23}, NOTE={Lecture Notes in Economics and Mathematical Systems} } @INPROCEEDINGS {oLEC93a, AUTHOR="P. L'Ecuyer", TITLE="Two Approaches for Estimating the Gradient in a Functional Form", BOOKTITLE={Proceedings of the 1993 Winter Simulation Conference}, editor = {G. W. Evans and M. Mollaghasemi and E. C. Russell and W. E. 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Glynn", YEAR={1996}, TITLE="A Control Variate Scheme for Likelihood Ratio Gradient Estimation", NOTE={In preparation} } @UNPUBLISHED {oLEC95a, AUTHOR="P. L'Ecuyer and P. W. Glynn", TITLE="Uniform Convergence of Truncated--Horizon Estimators for Parametrized Regenerative Systems", NOTE={In preparation}, YEAR={1996} } @ARTICLE {oLEC95b, old="oLEC94c", AUTHOR="P. L'Ecuyer", TITLE="On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators", JOURNAL={Management Science}, VOLUME={41}, NUMBER={4}, PAGES={738--748}, YEAR={1995} } @article {oLEC97a, ex = {oLEC96a}, ex = {oLEC94e}, AUTHOR="P. L'Ecuyer and F. V\'{a}zquez-Abad", TITLE="Functional Estimation with Respect to a Threshold Parameter via Dynamic Split-and-Merge", JOURNAL={Discrete Event Dynamic Systems: Theory and Applications}, VOLUME={7}, NUMBER={1}, PAGES={69--92}, YEAR={1997} } @article {oLEC98a, ex = {oLEC94g}, AUTHOR="P. L'Ecuyer and G. 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Rubinstein", YEAR={1990}, TITLE={{M}onte-{C}arlo Methods for Performance Evaluation, Sensitivity Analysis and Optimization of Stochastic Systems}, NOTE={To appear in The Encyclopedia of Computer Science and Technology}, PUBLISHER={Kent and Williams} } @ARTICLE {oRUB91a, AUTHOR="R. Y. Rubinstein", YEAR={1991}, TITLE="How to Optimize Discrete-Event Systems from a Single Sample Path by the Score Function Method", JOURNAL={Annals of Operations Research}, VOLUME={27}, PAGES={175--212} } @BOOK {oRUB93a, AUTHOR="R. Y. Rubinstein and A. Shapiro", TITLE={Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method}, PUBLISHER={Wiley}, ADDRESS={New York}, YEAR={1993} } @Article{oRUB97a, author = {R. Y. 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