Bhatnagar, Shalabh ; Borkar, Vivek S. (1998) A two Timescale Stochastic Approximation Scheme for Simulation-Based Parametric Optimization Probability in the Engineering and Informational Sciences, 12 (4). pp. 519-531. ISSN 0269-9648
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Official URL: http://doi.org/10.1017/S0269964800005362
Related URL: http://dx.doi.org/10.1017/S0269964800005362
Abstract
A two timescale stochastic approximation scheme which uses coupled iterations is used for simulation-based parametric optimization as an alternative to traditional “infinitesimal perturbation analysis” schemes. It avoids the aggregation of data present in many other schemes. Its convergence is analyzed, and a queueing example is presented.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Cambridge University Press. |
| ID Code: | 116586 |
| Deposited On: | 12 Apr 2021 07:06 |
| Last Modified: | 12 Apr 2021 07:06 |
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