Combining the stochastic counterpart and stochastic approximation methods

DOI10.1023/A:1008286324509zbMATH Open0870.93052MaRDI QIDQ679024FDOQ679024

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

Publication date: 12 August 1997

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

Recommendations

• scientific article; zbMATH DE number 439951
• scientific article; zbMATH DE number 125280
• Simulation-based optimization—convergence analysis and statistical inference

zbMATH Keywords

optimizationstochastic approximationscore functioncrude Monte Carlo methodexpected performancestochastic counterpart

Mathematics Subject Classification ID

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

Cited In (1)

• On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling

This page was built for publication: Combining the stochastic counterpart and stochastic approximation methods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q679024)