Bhatnagar, Shalabh and Borkar, VS (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.
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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 |
|---|---|
| Publication: | Probability in the Engineering and Informational Sciences |
| Publisher: | Cambridge University Press |
| 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 |
| Date Deposited: | 10 Jun 2011 04:14 |
| Last Modified: | 27 Feb 2019 10:23 |
| URI: | http://eprints.iisc.ac.in/id/eprint/38074 |
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