SMRI Seminar: Henderson -- A Tutorial and Perspectives on Monte Carlo Simulation Optimization

SMRI Seminar 
’A Tutorial and Perspectives on Monte Carlo Simulation Optimization’
Shane G. Henderson (Cornell University) 

Date and time: Thursday 7th March, 13:00-14:00 AEDT 
Location: Law Annex Lecture Theatre 026 and online 
Register/join for online attendance: https://uni-sydney.zoom.us/j/81091208628 

Abstract: I provide a tutorial and some perspectives on simulation optimization, in
which one wishes to minimize an objective function that can only be evaluated with noise
through a stochastic computer simulation.  First, I’ll give a few examples and
intuitively explain some central issues in the area.  Second, I’ll explain why so-called
sample-path functions can exhibit extremely complex behavior that is well worth
understanding.  Third, I’ll argue that more attention should be devoted to the
finite-time performance of solvers than on ensuring convergence properties that may only
arise in asymptotic time scales that may never be reached in practice.  I’ll outline an
approach for obtaining such results analytically (through Lyapunov functions) and
introduce a framework and code for computational experiments that can further this
goal.  Fourth (if time permits, though I doubt it will), I’ll advocate the use of a
layered approach to formulating and solving optimization problems, whereby a sequence of
models are built and optimized, rather than first building a simulation model and only
later "bolting on" optimization, partly through an example of my work involving bike
sharing with the organization Citi Bike in New York city.  

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Please join us after the seminar for SMRI afternoon tea, 2:00-2:45pm every Thursday on
the SMRI Terrace (accessed through A14-04-L4.36) 

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Current and past seminar info (including recordings) can be found on the seminars
webpage.  

Other upcoming SMRI events can be found here:
https://mathematical-research-institute.sydney.edu.au/news-events/ 

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