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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 ...
Optimal Multilevel Feedback Policies for ABR Flow Control using Two Timescale SPSA
Optimal multilevel control policies for rate based flow control in available bit rate (ABR) service in asynchronous transfer mode (ATM) networks are obtained in the presence of information and propagation delays, using a ...
Optimal Control of Switching Diffusions with Application to Flexible Manufacturing Systems
A Controlled switching diffusion model is developed to study the hierarchical control of flexible manufacturing systems. The existence of a homogeneous Markov nonrandomized optimal policy is established by a convex analytic ...
Ergodic Control of Switching Diffusions
We study the ergodic control problem of switching diffusions representing a typical hybrid system that arises in numerous applications such as fault tolerant control systems, flexible manufacturing systems, etc. Under ...