### Abstract

We consider a simulation optimization problem whose objective function is defined as the expectation of a simulation output based on a continuous decision variable, where the parameters of the simulation input distributions are estimated based on independent and identically distributed streaming data from a real-world system. Finite-sample error in the input parameter estimates causes input uncertainty in the simulation output, which decreases as the data size increases. By viewing the problem through the lens of misspecified stochastic optimization, we develop a stochastic approximation (SA) framework to solve a sequence of problems defined by the sequence of input parameter estimates to increasing levels of exactness. Under suitable assumptions, we observe that the error in the SA solution diminishes to zero in expectation and propose a SA sampling scheme so that the resulting solution iterates converge to the optimal solution under the real-world input distribution at the best possible rate.

Original language | English (US) |
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Title of host publication | 2019 Winter Simulation Conference, WSC 2019 |

Publisher | Institute of Electrical and Electronics Engineers Inc. |

Pages | 3597-3608 |

Number of pages | 12 |

ISBN (Electronic) | 9781728132839 |

DOIs | |

State | Published - Dec 2019 |

Event | 2019 Winter Simulation Conference, WSC 2019 - National Harbor, United States Duration: Dec 8 2019 → Dec 11 2019 |

### Publication series

Name | Proceedings - Winter Simulation Conference |
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Volume | 2019-December |

ISSN (Print) | 0891-7736 |

### Conference

Conference | 2019 Winter Simulation Conference, WSC 2019 |
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Country | United States |

City | National Harbor |

Period | 12/8/19 → 12/11/19 |

### All Science Journal Classification (ASJC) codes

- Software
- Modeling and Simulation
- Computer Science Applications

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## Cite this

*2019 Winter Simulation Conference, WSC 2019*(pp. 3597-3608). [9004677] (Proceedings - Winter Simulation Conference; Vol. 2019-December). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/WSC40007.2019.9004677