We consider discrete stochastic optimization problems where the objective function can only be estimated by a simulation oracle; the oracle is defined only at the discrete points....
Simulation optimization can be defined as the process of finding the best input variable values from among all possibilities without explicitly evaluating each possibility. The ob...
Abstract. Portfolios of assets whose returns have the Gaussian mixture distribution are optimized in the static setting to find portfolio weights and efficient frontiers using the ...
In today’s competitive electronic marketplace, companies try to create long-lasting relations with their online customers. Log files and registration forms generate millions of...
Many practical optimization problems involve nonsmooth (that is, not necessarily differentiable) functions of thousands of variables. In the paper [Haarala, Miettinen, M¨akel¨a,...