Evaluating Solvers for Linearly Constrained Simulation Optimization

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Natthawut Boonsiriphatthanajaroen, Rongyi He, Litong Liu, Tinghan Ye, Shane G. Henderson

Published: 01 Jan 2024, Last Modified: 26 Jul 2025WSC 2024EveryoneRevisionsBibTeXCC BY-SA 4.0
Abstract: Linearly constrained simulation optimization problems are those that include deterministic linear constraints in addition to an objective function that can only be evaluated through simulation. We provide several solvers for linearly constrained simulation optimization that all rely on gradient estimates of the objective function. We compare these solvers on random instances of 4 test problems from SimOpt.