Mishra, Vivek and Bhatnagar, Shalabh and Hemachandra, N (2007) Discrete parameter simulation optimization algorithms with applications to admission control with dependent service times. In: 46th IEEE Conference on Decision and Control, DEC 12-14, 2007, New Orleans, LA.
getPDF.pdf - Published Version
Restricted to Registered users only
Download (209Kb) | Request a copy
We propose certain discrete parameter variants of well known simulation optimization algorithms. Two of these algorithms are based on the smoothed functional (SF) technique while two others are based on the simultaneous perturbation stochastic approximation (SPSA) method. They differ from each other in the way perturbations are obtained and also the manner in which projections and parameter updates are performed. All our algorithms use two simulations and two-timescale stochastic approximation. As an application setting, we consider the important problem of admission control of packets in communication networks under dependent service times. We consider a discrete time slotted queueing model of the system and consider two different scenarios - one where the service times have a dependence on the system state and the other where they depend on the number of arrivals in a time slot. Under our settings, the simulated objective function appears ill-behaved with multiple local minima and a unique global minimum characterized by a sharp dip in the objective function in a small region of the parameter space. We compare the performance of our algorithms on these settings and observe that the two SF algorithms show the best results overall. In fact, in many cases studied, SF algorithms converge to the global minimum.
|Item Type:||Conference Paper|
|Additional Information:||Copyright 2007 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.|
|Department/Centre:||Division of Electrical Sciences > Computer Science & Automation (Formerly, School of Automation)|
|Date Deposited:||25 Mar 2010 12:03|
|Last Modified:||19 Sep 2010 05:57|
Actions (login required)