How to optimize discrete-event systems from a single sample path by the score function method

DOI10.1007/BF02055195MaRDI QIDQ751612zbMATH OpenFDO

Authors Reuven Y. Rubinstein

Publication date 1990

Published in Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo optimizationqueueing modelsdiscrete-even systemsoptimization in simulationscore function methodsingle sample path

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Cites work

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Cited in

(8)

• Conditioning for variance reduction in estimating the sensitivity of simulations
• Decomposable score function estimators for sensitivity analysis and optimization of queueing networks
• Derivatives of logarithmic stationary distributions for policy gradient reinforcement learning
• Stochastic quasigradient methods for optimization of discrete event systems
• Distributed expert systems for queueing network capacity planning
• Optimization via simulation: A review
• Parallel sample path generation for discrete event systems and the traffic smoothing problem
• Convergence rates for steady-state derivative estimators

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