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  1. Article

    Open Access

    Simulation optimization: a review of algorithms and applications

    Simulation optimization (SO) refers to the optimization of an objective function subject to constraints, both of which can be evaluated through a stochastic simulation. To address specific features of a partic...

    Satyajith Amaran, Nikolaos V. Sahinidis, Bikram Sharda… in Annals of Operations Research (2016)

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    Article

    Simulation optimization: a review of algorithms and applications

    Simulation optimization refers to the optimization of an objective function subject to constraints, both of which can be evaluated through a stochastic simulation. To address specific features of a particular ...

    Satyajith Amaran, Nikolaos V. Sahinidis, Bikram Sharda, Scott J. Bury in 4OR (2014)

  3. No Access

    Article

    Global optimization of nonlinear least-squares problems by branch-and-bound and optimality constraints

    We study a simple, yet unconventional approach to the global optimization of unconstrained nonlinear least-squares problems. Non-convexity of the sum of least-squares objective in parameter estimation problems...

    Satyajith Amaran, Nikolaos V. Sahinidis in TOP (2012)

  4. No Access

    Article

    Portfolio optimization for wealth-dependent risk preferences

    Empirical and theoretical studies of preference structures of investors have long shown that personal and corporate utility is typically multimodal, implying that the same investor can be risk-averse at certai...

    Luis Miguel Rios, Nikolaos V. Sahinidis in Annals of Operations Research (2010)