Combining the stochastic counterpart and stochastic approximation methods

DOI10.1023/A:1008286324509zbMath0870.93052MaRDI QIDQ679024

Donald Labrecque, Jean-Pierre Dussault, Pierre L'Ecuyer, Reuven Y. Rubinstein

Publication date: 12 August 1997

Published in: Discrete Event Dynamic Systems (Search for Journal in Brave)

zbMATH Keywords

optimizationstochastic approximationscore functioncrude Monte Carlo methodexpected performancestochastic counterpart

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Monte Carlo methods (65C05) Sensitivity (robustness) (93B35) Optimal stochastic control (93E20) Stochastic approximation (62L20)

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