  Simulation models are widely used in practice to facilitate decision-making
in a complex, dynamic and stochastic environment. But they are computationally
expensive to execute and optimize, due to lack of analytical tractability.
Simulation optimization is concerned with developing efficient sampling schemes
-- subject to a computational budget -- to solve such optimization problems. To
mitigate the computational burden, surrogates are often constructed using
simulation outputs to approximate the response surface of the simulation model.
In this tutorial, we provide an up-to-date overview of surrogate-based methods
for simulation optimization with continuous decision variables. Typical
surrogates, including linear basis function models and Gaussian processes, are
introduced. Surrogates can be used either as a local approximation or a global
approximation. Depending on the choice, one may develop algorithms that
converge to either a local optimum or a global optimum. Representative examples
are presented for each category. Recent advances in large-scale computation for
Gaussian processes are also discussed.
