Optimization in stochastic models
L. S. Gurin · International Journal of Computer Mathematics · 1964
Suppose we are given a random process depending on one or more parameters x, y, . . . . and that we can simulate this process on a computer to obtain independent realizations of it. Suppose further that some function, whose value for each realization is a random variable {(x, y, . . . , ) depending on the parameters of the process, is associated with the random process. The mathematical expectation of this random variable M{(x, y, . . . ) will be a function of the parameters: