Probability in the Engineering and Informational Sciences

Research Article

A two Timescale Stochastic Approximation Scheme for Simulation-Based Parametric Optimization

Shalabh Bhatnagara1 and Vivek S. Borkara2*

a1 Institute for Systems Research, University of Maryland, College Park, MD 20742 shalabh@isr.umd.edu

a2 Department of Computer Science and Automation, Indian Institute of Science, Bangalore 560 012, India borkar@csa.iisc.ernet.in

Abstract

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.

Footnotes

* Author to whom correspondence should be addressed. The work of this author was supported by the Homi Bhabha Fellowship.