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.
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|
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