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

Bhatnagar, ShalabhFu, Michael C.Marcus, Steven I.Bhatnagar, ShashankWe 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.en-USmathematical modelingsimulationoptimal controloptimizationdiscrete event dynamical systems DEDSflexible manufacturingmanufacturingSimulation OptimizationHidden Markov ModelsTwo-Timescale SPSA AlgorithmsIntelligent Control SystemsSystems Integration MethodologyRandomized Difference Two-Timescale Simultaneous Perturbation Stochastic Approximation Algorithms for Simulation Optimization of Hidden Markov ModelsTechnical Report