a1 Institute for Systems Research, University of Maryland, College Park, MD 20742 [email protected]
a2 Department of Computer Science and Automation, Indian Institute of Science, Bangalore 560 012, India [email protected]
A two timescale stochastic approximation scheme which uses coupled iterations is used for simulation-based parametric optimization as an alternative to traditional “infinitesimal perturbation analysis” schemes. It avoids the aggregation of data present in many other schemes. Its convergence is analyzed, and a queueing example is presented.
* Author to whom correspondence should be addressed. The work of this author was supported by the Homi Bhabha Fellowship.