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

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    No. of downloads: 831

    Date
    2000
    Author
    Bhatnagar, Shalabh
    Fu, Michael C.
    Marcus, Steven I.
    Bhatnagar, Shashank
    Advisor
    Marcus, Steven I.
    Fu, Michael C.
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    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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    http://hdl.handle.net/1903/6130
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