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Title: Randomized Difference Two-Timescale Simultaneous Perturbation Stochastic Approximation Algorithms for Simulation Optimization of Hidden Markov Models
Authors: Bhatnagar, Shalabh
Fu, Michael C.
Marcus, Steven I.
Bhatnagar, Shashank
Advisors: Marcus, Steven I.
Fu, Michael C.
Department/Program: ISR
Type: Technical Report
Keywords: mathematical modeling
optimal control
discrete event dynamical systems DEDS
flexible manufacturing
Simulation Optimization
Hidden Markov Models
Two-Timescale SPSA Algorithms
Intelligent Control Systems
Systems Integration Methodology
Issue Date: 2000
Series/Report no.: ISR; TR 2000-13
Abstract: We proposetwo finite difference two-timescale simultaneous perturbationstochastic approximation (SPSA)algorithmsfor simulation optimization ofhidden Markov models. Stability and convergence of both thealgorithms is proved.<p>Numericalexperiments on a queueing model with high-dimensional parameter vectorsdemonstrate orders of magnitude faster convergence using thesealgorithms over related $(N+1)$-Simulation finite difference analoguesand another two-simulation finite difference algorithm that updates incycles.
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