Convergence of stochastic approximation coupled with perturbation analysis in a class of manufacturing flow control models
type: Item
instance of: scholarly article
title: Convergence of stochastic approximation coupled with perturbation analysis in a class of manufacturing flow control models
zbMATH Open document ID: 0791.93104
DOI: 10.1007/BF01516011
published in: Discrete Event Dynamic Systems
publication date: 1994-03-14T00:00:00Z
review text: Stochastic approximation methods are examined for the solution of certain types of manufacturing flow control models having feedback control policies indexed over a compact finite-dimensional set \(\Theta\), where the objective functions are the average costs over a certain finite time interval. Representations are derived for the stochastic gradient of the objective function with respect to the control parameter \(\theta\in\Theta\), furthermore, conditions for the a.s. convergence of the stochastic gradient method towards the optimum are given.
reviewed by: Kurt Marti
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 93C73
zbMATH DE Number: 508730
zbMATH Keywords: stochastic approximation methods
zbMATH Keywords: flow control models
zbMATH Keywords: stochastic gradient method
author: Alain Haurie
author: Pierre L'Ecuyer
author: Christian van Delft
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 508730