Does anyone know of an R package that does simulation optimization?
Of numerous optimization packages (https://cran.r-project.org/web/views/Optimization.html), none do simulation optimization. Neither do the packages Monte Carlo and SimDesign. Google search and rseek.org find optimization packages with simulated annealing and stochastic search, but these techniques are not simulation optimization.
As a quick description, simulation optimization iterates two steps: 1) Monte Carlo simulation: For each solution in a set, find a probability distribution of its potential payoffs. 2) Search: Create a new set of (hopefully) better solutions. Iterate (1) and (2) to find an optimization solution, such as maximizing expected value with the constraint that a solution's fifth percentile is greater than or equal to zero (no more than a five percent chance of a loss). A more thorough description of the technique is here: https://www.opttek.com/white-papers/scenario-based-risk-management-and-simulation-optimization/.
If anyone knows of an R package that does simulation optimization, thank you for suggesting it. I am studying how noisy information affects project portfolio optimization, and an R simulation optimization package would make the studies both faster and less arduous.