Estimating the Optimum of a Stochastic System using Simulation
S. Rollans, Don L. McLeish · Journal of Statistical Computation and Simulation · 2002
We incorporate new techniques for obtaining unbiased estimators of gradients from single simulations of stochastic systems in optimization procedures. We develop an "enhanced" least squares estimator of the optimum which incorporates information about both the function and its gradient and improves substantially on techniques which use only the function. We also propose a sequential design to use with the enhanced least squares estimator to optimize a regression function when it is evaluated by simulation.