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Input Uncertainty: Examples and Philosophies

Presented by: 
SG Henderson Cornell University
Date: 
Thursday 8th September 2011 - 09:30 to 10:00
Venue: 
INI Seminar Room 1
Session Title: 
Input uncertainty in stochastic simulation experiments
Session Chair: 
L. Schruben
Abstract: 
I will present two examples that point to the importance of appreciating input uncertainty in simulation modeling. Both examples are set in the context of optimization problems where the objective function is estimated (with noise) through discrete-event simulation. I will then discuss some modeling philosophies adopted by the deterministic optimization research community in the context of input uncertainty, with the goal of identifying some modeling philosophies that might be appropriate for simulation optimization.
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University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons