COMBINING THE STOCHASTIC COUNTERPART AND STOCHASTIC-APPROXIMATION METHODS

In this work, we examine how to combine the score function method with the standard crude Monte Carlo and experimental design approaches, in order to evaluate the expected performance of a discrete event system and its associated gradient simultaneously for different scenarios (c ombinations of parameter values), as well as to optimize the expected performance with respect to two parameter sets, which represent parame ters of the underlying probability law (for the system's evolution) an d parameters of the sample performance measure, respectively. We explo re how the stochastic approximation and stochastic counterpart methods can be combined to perform optimization with respect to both sets of parameters at the same time. We outline three combined algorithms of t hat form, one sequential and two parallel, and give a convergence proo f for one of them. We discuss a number of issues related to the implem entation and convergence of those algorithms, introduce averaging vari ants, and give numerical illustrations.