Author:
Bhatnagar Shalabh,Borkar Vivek S.
Abstract
A two–time scale stochastic approximation algorithm is proposed for simulation-based parametric optimization of hidden Markov models, as an alternative to the traditional approaches to “infinitesimal perturbation analysis.” 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
23 articles.
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