Author:
Bhatnagar Shalabh,Borkar Vivek S.
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.
Publisher
Cambridge University Press (CUP)
Subject
Industrial and Manufacturing Engineering,Management Science and Operations Research,Statistics, Probability and Uncertainty,Statistics and Probability
Cited by
33 articles.
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