A two Timescale Stochastic Approximation Scheme for Simulation-Based Parametric Optimization
1998 ◽
Vol 12
(4)
◽
pp. 519-531
◽
Keyword(s):
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.
1997 ◽
Vol 11
(4)
◽
pp. 509-522
◽
1990 ◽
Vol 65
(1)
◽
pp. 149-160
◽
2013 ◽
pp. 75-95
◽
2008 ◽
Vol 53
(2)
◽
pp. 560-565
◽