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

DOI10.1007/BF02055195zbMATH Open0714.93063MaRDI QIDQ751612FDOQ751612

Reuven Y. Rubinstein

Publication date: 1990

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

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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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Cited In (8)

• Conditioning for variance reduction in estimating the sensitivity of simulations
• Stochastic quasigradient methods for optimization of discrete event systems
• Parallel sample path generation for discrete event systems and the traffic smoothing problem
• Convergence rates for steady-state derivative estimators
• Optimization via simulation: A review
• Derivatives of Logarithmic Stationary Distributions for Policy Gradient Reinforcement Learning
• Distributed expert systems for queueing network capacity planning
• Decomposable score function estimators for sensitivity analysis and optimization of queueing networks

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