Reflections On Simulation Optimization

I provide some perspectives on simulation optimization. First, more attention should be devoted to the finite-time performance of solvers than on ensuring convergence properties that may only arise in asymptotic time scales that may never be reached in practice. Both analytical results and computational experiments can further this goal. Second, so-called sample-path functions can exhibit extremely complex behavior that is well worth understanding in selecting a solver and its parameters. Third, I advocate the use of a layered approach to formulating and solving optimization problems, whereby a sequence of models are built and optimized, rather than first building a simulation model and only later “bolting on” optimization.