Title: Simulation optimization: A review of algorithms and applications,
Abstract: Simulation Optimization (SO) refers to the optimization of an objective
function subject to constraints, both of which can be evaluated through a
stochastic simulation. To address specific features of a particular
simulation---discrete or continuous decisions, expensive or cheap simulations,
single or multiple outputs, homogeneous or heterogeneous noise---various
algorithms have been proposed in the literature. As one can imagine, there
exist several competing algorithms for each of these classes of problems. This
document emphasizes the difficulties in simulation optimization as compared to
mathematical programming, makes reference to state-of-the-art algorithms in the
field, examines and contrasts the different approaches used, reviews some of
the diverse applications that have been tackled by these methods, and
speculates on future directions in the field.