A 2 TIMESCALE STOCHASTIC-APPROXIMATION SCHEME FOR SIMULATION-BASED PARAMETRIC OPTIMIZATION

Citation
S. Bhatnagar et Vs. Borkar, A 2 TIMESCALE STOCHASTIC-APPROXIMATION SCHEME FOR SIMULATION-BASED PARAMETRIC OPTIMIZATION, Probability in the engineering and informational sciences, 12(4), 1998, pp. 519-531
Citations number
13
Categorie Soggetti
Statistic & Probability","Operatione Research & Management Science","Engineering, Industrial","Statistic & Probability","Operatione Research & Management Science
ISSN journal
02699648
Volume
12
Issue
4
Year of publication
1998
Pages
519 - 531
Database
ISI
SICI code
0269-9648(1998)12:4<519:A2TSSF>2.0.ZU;2-H
Abstract
A two timescale stochastic approximation scheme which uses coupled ite rations is used for simulation-based parametric optimization as an alt ernative to traditional ''infinitesimal perturbation analysis'' scheme s, It avoids the aggregation of data present in many other schemes. It s convergence is analyzed, and a queueing example is presented.