Monte Carlo Optimization, Simulation and Sensitivity of Queueing Networks

Monte Carlo Optimization, Simulation and Sensitivity of Queueing Networks

by Reuven Y. Rubinstein
     
 

ISBN-10: 0894647644

ISBN-13: 9780894647642

Pub. Date: 10/01/1992

Publisher: Krieger Publishing Company

A theoretical treatment of Monte Carlo optimization—simulation using perturbation analysis, adaptive methods, and variance reduction techniques. Emphasizes concepts rather than mathematical completeness. Shows how to use simulation and Monte Carlo methods efficiently for estimating performance measures, sensitivities and optimization of stochastic systems.

Overview

A theoretical treatment of Monte Carlo optimization—simulation using perturbation analysis, adaptive methods, and variance reduction techniques. Emphasizes concepts rather than mathematical completeness. Shows how to use simulation and Monte Carlo methods efficiently for estimating performance measures, sensitivities and optimization of stochastic systems.

Product Details

ISBN-13:
9780894647642
Publisher:
Krieger Publishing Company
Publication date:
10/01/1992
Edition description:
Reprint ed
Pages:
272
Product dimensions:
6.10(w) x 9.20(h) x 0.80(d)

Table of Contents

Antithetic and Common Random Variables in Simulation of Complex Stochastic Systems.

Multidimensional Control Variates in Monte Carlo Simulation.

Stochastic Optimization Via Stochastic Approximation.

Perturbation Analysis for Sensitivity and Optimization of Complex Queueing Networks.

Monte Carlo Optimization.

Appendixes.

References.

Index.

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