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  • Probability in the Engineering and Informational Sciences, Volume 12, Issue 4
  • October 1998, pp. 519-531

A two Timescale Stochastic Approximation Scheme for Simulation-Based Parametric Optimization

  • Shalabh Bhatnagar (a1) and Vivek S. Borkar (a2)
  • DOI:
  • Published online: 01 July 2009

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.

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3.V.S. Borkar (1997). Stochastic approximation with two time scales. Systems and Control Letters 29: 291294.

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