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A two Timescale Stochastic Approximation Scheme for Simulation-Based Parametric Optimization
9 references·2 citing·33 second hop
A two Timescale Stochastic Approximation Scheme for Simulation-Based Parametric Optimization (1998)A two Timescale Stochastic Approximation …Simulation and the Monte Carlo Method (2016)Simulation and the Monte Carl…Stochastic approximation with two time scales (1997)Stochastic approximation with…Stochastic optimization of regenerative systems using infinitesimal perturbation analysis (1994)Stochastic optimization of re…Stochastic Optimization by Simulation: Convergence Proofs for the GI/G/1 Queue in Steady-State (1994)Stochastic Optimization by Si…Optimization of Queues Using an Infinitesimal Perturbation Analysis-Based Stochastic Algorithm with General Update Times (1993)Optimization of Queues Using …Multivariate stochastic approximation using a simultaneous perturbation gradient approximation (1992)Multivariate stochastic appro…Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue (1988)Perturbation Analysis Gives S…Simulation and the Monte Carlo Method (1981)Simulation and the Monte Carl…Stochastic Approximation Methods for Constrained and Unconstrained Systems (1978)Stochastic Approximation Meth…Optimal Threshold Policies for Admission Control in Communication Networks via Discrete Parameter Stochastic Approximation (2005)Optimal Threshold Policies fo…Stochastic approximation algorithms: Overview and recent trends (1999)Stochastic approximation algo…Regeneration and Networks of Queues (1987)Stopped Random Walks (1988)Stochastic approximation: invited paper (2003)Two-timescale simultaneous perturbation stochastic approximation using deterministic perturbation sequences (2003)Queueing Systems. Volume 1: Theory (1975)Applied Probability and Queues (1987)Optimization of discrete event systems via simultaneous perturbation stochastic approximation (1997)Two-timescale algorithms for simulation optimization of hidden Markov models (2001)Event-Based Optimization of Markov Systems (2008)Stochastic Modeling and the Theory of Queues (1989)On the Convergence Rates of IPA and FDC Derivative Estimators (1994)Simulation optimization using metamodels (2009)Stochastic Gradient Estimation (2014)A Stochastic Approximation Method (1951)Increasing Returns and Path Dependence in the Economy (1994)Poisson Arrivals See Time Averages (1982)Perturbation analysis and optimization of queueing networks (1983)Sensitivity Analysis for Simulations via Likelihood Ratios (1989)Steady-state simulation of queueing processes: survey of problems and solutions (1990)Optimization via simulation: A review (1994)Stochastic Estimation of the Maximum of a Regression Function (1952)Implementation of the simultaneous perturbation algorithm for stochastic optimization (1998)Feature Article: Optimization for simulation: Theory vs. Practice (2002)Simulation optimization: a review of algorithms and applications (2015)Simulation-based optimization of Markov reward processes (2001)Convergent multiple-timescales reinforcement learning algorithms in normal form games (2003)Automobile Prices in Market Equilibrium (1995)Estimation of small failure probabilities in high dimensions by subset simulation (2001)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)Convergence of least squares learning mechanisms in self-referential linear stochastic models (1989)Simulation Budget Allocation for Further Enhancing the Efficiency of Ordinal Optimization (2000)Monte Carlo Sampling Methods (2003)A New Study on Reliability-Based Design Optimization (1999)
this work references cited by second hop

References

  • 2016Simulation and the Monte Carlo Method3,356 cited
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  • 1992Multivariate stochastic approximation using a simultaneous perturbation gradient approximation2,282 cited
  • 1978Stochastic Approximation Methods for Constrained and Unconstrained Systems1,459 cited
  • 1997Stochastic approximation with two time scales393 cited
  • 1988Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue226 cited
  • 1994Stochastic Optimization by Simulation: Convergence Proofs for the GI/G/1 Queue in Steady-State100 cited
  • 1993Optimization of Queues Using an Infinitesimal Perturbation Analysis-Based Stochastic Algorithm with General Update Times78 cited
  • 1994Stochastic optimization of regenerative systems using infinitesimal perturbation analysis55 cited

Cited by

  • 1999Stochastic approximation algorithms: Overview and recent trends37 cited
  • 2005Optimal Threshold Policies for Admission Control in Communication Networks via Discrete Parameter Stochastic Approximation12 cited

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