Stochastic Optimization by Simulation: Numerical Experiments with the M/M/1 Queue in Steady-State

Pierre L'Ecuyer, Nataly Giroux and Peter W. Glynn
Additional contact information
Pierre L'Ecuyer: Départment d'I.R.O., Universitedé Montréal, C.P. 6128, Montréal, H3C 3J7, Canada
Nataly Giroux: Bell Northern Research, Dept. 6J33, Fitzgerald Building, P.O. Box 3511, Ottawa, K1Y 4H7, Canada
Peter W. Glynn: Operations Research Department, Stanford University, Stanford, CA 94305, USA

Management Science, 1994, vol. 40, issue 10, 1245-1261

Abstract: 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 (1993), 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.

Keywords: discrete event systems; stochastic approximation; gradient estimation; optimization; steady-state (search for similar items in EconPapers)
Date: 1994
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://dx.doi.org/10.1287/mnsc.40.10.1245 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:40:y:1994:i:10:p:1245-1261

Access Statistics for this article

More articles in Management Science from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().