Stochastic Optimization by Simulation: Numerical Experiments with the M/M/1 Queue in Steady-State
Pierre L'Ecuyer, Nataly Giroux, Peter W. Glynn
Management Science · 1994 · Volume 40 · Issue 10
Abstract
This paper gives numerical illustrations of the behavior of stochastic approximation, combined with different derivative estimation techniques, to optimize a steady-state system. It is a companion paper to L'Ecuyer and Glynn (1993), which gives convergence proofs for most of the variants experimented here. The numerical experiments are made with a simple M / M /1 queue, which while simple, serves to illustrate the basic convergence properties and Possible pitfalls of the various techniques.
Keywords
discrete event systems, stochastic approximation, gradient estimation, optimization, steady-state
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