Stochastic Optimization by Simulation: Numerical Experiments with the M/M/1 Queue in Steady-StateP. L’Ecuyer, N. Giroux, and P. W. Glynn Management Science, Vol.40, 1245-1261 (1994) This paper gives numerical illustrations of the behavior of stochastic approximation, combined with different derivative estimation techniques, to optimize a steady-state system. It is a companion paper to L'Ecuyer and Glynn (1994), which gives convergence proofs for most of the variants experimented here. The numerical experiments are made with a simple M/M/ 1 queue, which while simple, serves to illustrate the basic convergence properties and possible pitfalls of the various techniques.
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