Central limit theorems for stochastic optimization algorithms using infinitesimal perturbation analysis

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	Central limit theorems for stochastic optimization algorithms using infinitesimal perturbation analysis
	Tang, QY ; L'Ecuyer, P ; Chen, HF
	2000
发表期刊	DISCRETE EVENT DYNAMIC SYSTEMS-THEORY AND APPLICATIONS
ISSN	0924-6703
卷号	10 期号:1-2 页码:5-32
摘要	Central limit theorems are obtained for the "perturbation analysis Robbins-Monro single run'' (PARMSR) optimization algorithm, with updates either after every L customers or after every busy period, in the context of the optimization of a GI/GI/1 queue. The PARMSR algorithm is a stochastic approximation (SA) method for the optimization of infinite-horizon models. It is shown that the convergence rate and the asymptotic variance constant of the optimization algorithm, as a function of the total computing budget (i.e., total number of customers), are the same for both updating methods, and independent of L, provided that the step sizes of SA are chosen in the (asymptotically) optimal way for each method.
关键词	perturbation analysis stochastic approximation recursive estimation queueing theory central limit theorems
语种	英语
WOS研究方向	Automation & Control Systems ; Operations Research & Management Science ; Mathematics
WOS类目	Automation & Control Systems ; Operations Research & Management Science ; Mathematics, Applied
WOS记录号	WOS:000084818200001
出版者	KLUWER ACADEMIC PUBL
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/15308
专题	中国科学院数学与系统科学研究院
通讯作者	Tang, QY
作者单位	1.Univ Montreal, Dept IRO, Montreal, PQ H3C 3J7, Canada 2.Acad Sinica, Inst Syst Sci, Lab Syst & Control, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Tang, QY,L'Ecuyer, P,Chen, HF. Central limit theorems for stochastic optimization algorithms using infinitesimal perturbation analysis[J]. DISCRETE EVENT DYNAMIC SYSTEMS-THEORY AND APPLICATIONS,2000,10(1-2):5-32.
APA	Tang, QY,L'Ecuyer, P,&Chen, HF.(2000).Central limit theorems for stochastic optimization algorithms using infinitesimal perturbation analysis.DISCRETE EVENT DYNAMIC SYSTEMS-THEORY AND APPLICATIONS,10(1-2),5-32.
MLA	Tang, QY,et al."Central limit theorems for stochastic optimization algorithms using infinitesimal perturbation analysis".DISCRETE EVENT DYNAMIC SYSTEMS-THEORY AND APPLICATIONS 10.1-2(2000):5-32.