An On-line Simulation Approach to Search Efficient Values of Decision Variables in Stochastic Systems.

This paper deals with a discrete simulation optimization method for designing a complex probabilistic discrete event system. The proposed algorithm in this paper searches the effective and reliable alternatives satisfying the target values of the system to be designed through a single run in a relatively short time period. It tries to estimate an auto-regressive model, and construct mean and confidence interval for evaluating correctly the objective function obtained by a small amount of output data. The experimental results using the proposed method are also shown. [ABSTRACT FROM AUTHOR]