Stochastic Approximation for simulation Optimization under Input Uncertainty with Streaming Data

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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 languageEnglish (US)
Title of host publication2019 Winter Simulation Conference, WSC 2019
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages3597-3608
Number of pages12
ISBN (Electronic)9781728132839
DOIs
StatePublished - Dec 2019
Event2019 Winter Simulation Conference, WSC 2019 - National Harbor, United States
Duration: Dec 8 2019Dec 11 2019

Publication series

NameProceedings - Winter Simulation Conference
Volume2019-December
ISSN (Print)0891-7736

Conference

Conference2019 Winter Simulation Conference, WSC 2019
CountryUnited States
CityNational Harbor
Period12/8/1912/11/19

All Science Journal Classification (ASJC) codes

  • Software
  • Modeling and Simulation
  • Computer Science Applications

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  • Cite this

    Song, E., & Shanbhag, U. V. (2019). Stochastic Approximation for simulation Optimization under Input Uncertainty with Streaming Data. In 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