Convergence of stochastic approximation coupled with perturbation analysis in a class of manufacturing flow control models

DOI10.1007/BF01516011MaRDI QIDQ1314853zbMATH OpenFDO

Authors Alain Haurie, Pierre L'Ecuyer, Christian van Delft

Publication date 14 March 1994

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

Full work available at URL https://doi.org/10.1007/BF01516011

zbMATH Keywords

flow control modelsstochastic approximation methodsstochastic gradient method

Mathematics Subject Classification ID

Perturbations in control/observation systems (93C73) Optimal stochastic control (93E20)

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.

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Cited in

(8)

• Perturbation analysis of discrete event systems: Concepts, algorithms, and applications
• Strong points of weak convergence: A study using RPA gradient estimation for automatic learning
• Time scale decomposition in production planning for unreliable flexible manufacturing systems
• Optimal threshold levels in stochastic fluid models via simulation-based optimization
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• Perturbation analysis and optimization of stochastic hybrid systems
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