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

  • Shalabh Bhatnagar (a1) and Vivek S. Borkar (a2)
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.

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Probability in the Engineering and Informational Sciences
  • ISSN: 0269-9648
  • EISSN: 1469-8951
  • URL: /core/journals/probability-in-the-engineering-and-informational-sciences
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