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The Handbook of Simulation Optimization presents an overview of the state of the art of simulation optimization, providing a survey of the most well-established approaches for optimizing stochastic simulation models and a sampling of recent research advances in theory and methodology. Leading contributors cover such topics as discrete optimization via simulation, ranking and selection, efficient simulation budget allocation, random search methods, response surface methodology, stochastic gradient estimation, stochastic approximation, sample average approximation, stochastic constraints, variance reduction techniques, model-based stochastic search methods and Markov decision processes. This single volume should serve as a reference for those already in the field and as a means for those new to the field for understanding and applying the main approaches. The intended audience includes researchers, practitioners and graduate students in the business/engineering fields of operations research, management science, operations management and stochastic control, as well as in economics/finance and computer science.
Operations Research: 1934-1941," 35, 1, 143-152; "British The goal of the Encyclopedia of Operations Research and Operational Research in World War II," 35, 3, 453-470; Management Science is to provide to decision makers and "U. S. Operations Research in World War II," 35, 6, 910-925; problem solvers in business, industry, government and and the 1984 article by Harold Lardner that appeared in academia a comprehensive overview of the wide range of Operations Research: "The Origin of Operational Research," ideas, methodologies, and synergistic forces that combine to 32, 2, 465-475. form the preeminent decision-aiding fields of operations re search and management science (OR/MS). To this end, w...
This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.
Conditional Monte Carlo: Gradient Estimation and Optimization Applications deals with various gradient estimation techniques of perturbation analysis based on the use of conditional expectation. The primary setting is discrete-event stochastic simulation. This book presents applications to queueing and inventory, and to other diverse areas such as financial derivatives, pricing and statistical quality control. To researchers already in the area, this book offers a unified perspective and adequately summarizes the state of the art. To researchers new to the area, this book offers a more systematic and accessible means of understanding the techniques without having to scour through the immense...
System Theory: Modeling, Analysis and Control contains thirty-three scientific papers covering a wide range of topics in systems and control. These papers have been contributed to a symposium organized to celebrate Sanjoy K. Mitter's 65th birthday. The following research topics are addressed: distributed parameter systems, stochastic control, filtering and estimation, optimization and optimal control, image processing and vision, hierarchical systems and hybrid control, nonlinear systems, and linear systems. Also included are three survey papers on optimization, nonlinear filtering, and nonlinear systems. Recent advances are reported on the behavioral approach to systems, the relationship be...
This monograph studies the design of robust, monotonically-convergent iterative learning controllers for discrete-time systems. It presents a unified analysis and design framework that enables designers to consider both robustness and monotonic convergence for typical uncertainty models, including parametric interval uncertainties, iteration-domain frequency uncertainty, and iteration-domain stochastic uncertainty. The book shows how to use robust iterative learning control in the face of model uncertainty.
Although the problem of nonlinear controller design is as old as that of linear controller design, the systematic design methods framed in response are more sparse. Given the range and complexity of nonlinear systems, effective new methods of control design are therefore of significant importance. Dynamic Surface Control of Uncertain Nonlinear Systems provides a theoretically rigorous and practical introduction to nonlinear control design. The convex optimization approach applied to good effect in linear systems is extended to the nonlinear case using the new dynamic surface control (DSC) algorithm developed by the authors. A variety of problems – DSC design, output feedback, input saturat...
This Handbook is a collection of chapters on key issues in the design and analysis of computer simulation experiments on models of stochastic systems. The chapters are tightly focused and written by experts in each area. For the purpose of this volume "simulation refers to the analysis of stochastic processes through the generation of sample paths (realization) of the processes. Attention focuses on design and analysis issues and the goal of this volume is to survey the concepts, principles, tools and techniques that underlie the theory and practice of stochastic simulation design and analysis. Emphasis is placed on the ideas and methods that are likely to remain an intrinsic part of the fou...
Computing Tools for Modeling, Optimization and Simulation reflects the need for preserving the marriage between operations research and computing in order to create more efficient and powerful software tools in the years ahead. The 17 papers included in this volume were carefully selected to cover a wide range of topics related to the interface between operations research and computer science. The volume includes the now perennial applications of rnetaheuristics (such as genetic algorithms, scatter search, and tabu search) as well as research on global optimization, knowledge management, software rnaintainability and object-oriented modeling. These topics reflect the complexity and variety o...
Uncanny computer-generated animations of splashing waves, billowing smoke clouds, and characters flowing hair have become a ubiquitous presence on screens of all types since the 1980s. This Open Access book charts the history of these digital moving images and the software tools that make them. Unpredictable Visual Effects uncovers an institutional and industrial history that saw media industries conducting more private R & D as Cold War federal funding began to wane in the late 1980s. In this context studios and media software companies took concepts used for studying and managing unpredictable systems like markets, weather, and fluids and turned them into tools for animation. Unpredictable Visual Effects theorizes how these animations are part of a paradigm of control evident across society, while at the same time exploring what they can teach us about the relationship between making and knowing.