Central limit theorems for stochastic optimization algorithms using infinitesimal perturbation analysis
文献类型：期刊论文
| 作者 | Tang, QY; L'Ecuyer, P; Chen, HF |
| 刊名 | DISCRETE EVENT DYNAMIC SYSTEMS-THEORY AND APPLICATIONS
 |
| 出版日期 | 2000 |
| 卷号 | 10期号:1-2页码:5-32 |
| 关键词 | perturbation analysis stochastic approximation recursive estimation queueing theory central limit theorems |
| ISSN号 | 0924-6703 |
| 英文摘要 | 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. |
| WOS研究方向 | Automation & Control Systems ; Operations Research & Management Science ; Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000084818200001 |
| 出版者 | KLUWER ACADEMIC PUBL |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/15307]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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