STOCHASTIC OPTIMIZATION BY SIMULATION - NUMERICAL EXPERIMENTS WITH THE M/M/1 QUEUE IN STEADY-STATE

• 成果类型: Article
• 署名作者: LECUYER, P; GIROUX, N; GLYNN, PW
• 署名单位: Stanford University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.40.10.1245
• 发表日期: 1994
• 页码: 1245-1261
• 关键词: DISCRETE EVENT SYSTEMS; stochastic approximation; gradient estimation; optimization; steady-state

摘要

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.