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

View/ Open
Date
2000Author
Bhatnagar, Shalabh
Fu, Michael C.
Marcus, Steven I.
Bhatnagar, Shashank
Advisor
Marcus, Steven I.
Fu, Michael C.
Metadata
Show full item recordAbstract
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.