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

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.

• 저널Management Science · 40(10) · 1245–1261
• 토픽Advanced Queuing Theory Analysis · Management Information Systems
• DOI10.1287/mnsc.40.10.1245
• 저자Pierre L’Ecuyer, Nataly Giroux, Peter W. Glynn