STOCHASTIC OPTIMIZATION BY SIMULATION - NUMERICAL EXPERIMENTS WITH THE M M/1 QUEUE IN STEADY-STATE/

This paper gives numerical illustrations of the behavior of stochastic approximation, combined with different derivative estimation techniqu es, to optimize a steady-state system. It is a companion paper to L'Ec uyer and Glynn (1993), which gives convergence proofs for most of the variants experimented here. The numerical experiments are made with a simple M/M/1 queue, which while simple, serves to illustrate the basic convergence properties and possible pitfalls of the various technique s.