Simulation-Based Optimization: An Overview
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The purpose of this chapter is to discuss the role that can be played by computer simulation in stochastic optimization. To this end, we will begin by defining stochastic optimization. We will then discuss the usefulness of simulation in the context of stochastic optimization. In this chapter, we will provide a broad description of stochastic optimization problems rather than describing their solution methods.
KeywordsDynamic Programming Closed Form Control Optimization Problem Stochastic Optimization Stochastic Control Optimization
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