A New Perspective on Feasibility Determination

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Szechtman, Roberto
Yucesan, Enver
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2008
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Abstract
We consider the problem of feasibility determination in a stochastic setting. In particular, we wish to determine whether a system belongs to a given set G based on a performance measure estimated through Monte Carlo simulation. Our contribution is two-fold: (i) we characterize fractional allocations that are asymptotically optimal; and (ii) we provide an easily implementable algorithm, rooted in stochastic approximation theory, that results in sampling allocations that provably achieve in the limit the same performance as the optimal allocations. The finite-time behavior of the algorithm is also illustrated on two small examples.
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Conference Paper
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Proceedings of the 2008 Winter Simulation Conference S. J. Mason, R. R. Hill, L. Mönch, O. Rose, T. Jefferson, J. W. Fowler eds.
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https://hdl.handle.net/10945/38580
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Operations Research (OR)
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defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.
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