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

DOI10.1017/S0269964800005362zbMath0982.93072OpenAlexW2004401795MaRDI QIDQ4950732

Vivek S. Borkar, Shalabh Bhatnagar

Publication date: 12 December 2000

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964800005362

zbMATH Keywords

parametric optimizationstochastic approximation

Mathematics Subject Classification ID

Related Items (8)

A stability criterion for two timescale stochastic approximation schemes ⋮ Gradient-Based Adaptive Stochastic Search for Simulation Optimization Over Continuous Space ⋮ Newton-based stochastic optimization using \(q\)-Gaussian smoothed functional algorithms ⋮ Stochastic compositional gradient descent: algorithms for minimizing compositions of expected-value functions ⋮ Quasi-Newton smoothed functional algorithms for unconstrained and constrained simulation optimization ⋮ Stochastic approximation algorithms: overview and recent trends. ⋮ Finite-sample analysis of nonlinear stochastic approximation with applications in reinforcement learning ⋮ Smoothed Functional Algorithms for Stochastic Optimization Using q -Gaussian Distributions

Cites Work

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• Optimization of Queues Using an Infinitesimal Perturbation Analysis-Based Stochastic Algorithm with General Update Times
• Stochastic Optimization by Simulation: Convergence Proofs for the GI/G/1 Queue in Steady-State
• Unnamed Item

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