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
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.