Stochastic Optimization by Simulation: Numerical Experiments with M/M/1 Queue in Steady-State
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. Discrete-event systems, Stochastic approximation, Gradient estimation, Optimization, Steady- state.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jul 01, 1993
- Accession Number
- ADA271143
Entities
People
- Nataly Giroux
- Peter W. Glynn
- Pierre L'ecuyer
Organizations
- Stanford University