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Randomized Difference Two-Timescale Simultaneous Perturbation Stochastic Approximation Algorithms for Simulation Optimization of Hidden Markov Models

Bhatnagar, Shalabh; Fu, Michael C.; Marcus, Steven I.; Bhatnagar, Shashank (2000)

We proposetwo finite difference two-timescale simultaneous perturbationstochastic approximation (SPSA)algorithmsfor simulation optimization ofhidden Markov models. Stability and convergence of both thealgorithms is ...