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Randomized Difference Two-Timescale Simultaneous Perturbation Stochastic Approximation Algorithms for Simulation Optimization of Hidden Markov Models
We proposetwo finite difference two-timescale simultaneous perturbationstochastic approximation (SPSA)algorithmsfor simulation optimization ofhidden Markov models. Stability and convergence of both thealgorithms is ...
Comparing Gradient Estimation Methods Applied to Stochastic Manufacturing Systems
This paper compares two gradient estimation methods that can be usedfor estimating the sensitivities of output metrics with respectto the input parameters of a stochastic manufacturing system.A brief description of the ...