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Stochastic Optimization by Simulation: Convergence Proofs for the GI/G/1 Queue in Steady-State

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References

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1987Monte Carlo Optimization, Simulation and Sensitivity of Queueing Networks.99 cited

1993Optimization of Queues Using an Infinitesimal Perturbation Analysis-Based Stochastic Algorithm with General Update Times78 cited

Cited by

1994On the Convergence Rates of IPA and FDC Derivative Estimators100 cited
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1994Stochastic Optimization by Simulation: Numerical Experiments with the M/M/1 Queue in Steady-State90 cited
1996Convergence analysis of gradient descent stochastic algorithms87 cited
1997Constrained optimization via stochastic approximation with a simultaneous perturbation gradient approximation84 cited
2001Stochastic root finding via retrospective approximation76 cited
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1996Simulation-based optimization—convergence analysis and statistical inference55 cited
1994Stochastic optimization of regenerative systems using infinitesimal perturbation analysis55 cited
2007Adaptive Newton-based multivariate smoothed functional algorithms for simulation optimization52 cited
1997Optimization of discrete event systems via simultaneous perturbation stochastic approximation52 cited
1996Stochastic Approximation Methods for Systems over an Infinite Horizon50 cited