Stochastic Optimization by Simulation: Convergence Proofs for the GI/G/1 Queue in Steady-State

DOI10.1287/mnsc.40.11.1562zbMath0823.90046OpenAlexW2084091044MaRDI QIDQ4834363

Pierre L'Ecuyer, Peter W. Glynn

Publication date: 25 October 1995

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.40.11.1562

zbMATH Keywords

stochastic approximation\(M/M/1\) queuediscrete event systemssteady-stategradient estimation

Mathematics Subject Classification ID

Queues and service in operations research (90B22)

Related Items (9)

Convergence analysis of gradient descent stochastic algorithms ⋮ Constrained optimization via stochastic approximation with a simultaneous perturbation gradient approximation ⋮ Sample-path optimization of convex stochastic performance functions ⋮ A stochastic quasi-Newton method for simulation response optimization ⋮ An alternating variable method with varying replications for simulation response optimization ⋮ A two Timescale Stochastic Approximation Scheme for Simulation-Based Parametric Optimization ⋮ State-dependent control of a single stage hybrid system with Poisson arrivals ⋮ Optimization of computer simulation models with rare events ⋮ Simulation response optimization via direct conjugate direction method

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