Bhatnagar, Shalabh and Borkar, Vivek S (1998) A two timescale stochastic approximation scheme for simulation-based parametric optimization. In: Probability in the Engineering and Informational Sciences, 12 (4). pp. 519-531.
Full text not available from this repository.
Official URL: http://journals.cambridge.org/action/displayAbstra...
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: | Journal Article |
|---|---|
| Additional Information: | Copyright of this article belongs to Cambridge University Press. |
| Keywords: | Infinitesimal Perturbation Analysis;Queue. |
| Department/Centre: | Division of Electrical Sciences > Computer Science & Automation (Formerly, School of Automation) |
| Date Deposited: | 10 Jun 2011 04:14 |
| Last Modified: | 10 Jun 2011 04:14 |
| URI: | http://eprints.iisc.ernet.in/id/eprint/38074 |
Actions (login required)
 |
View Item |
