Optimization of discrete event systems via simultaneous perturbation stochastic approximation
Titel:
Optimization of discrete event systems via simultaneous perturbation stochastic approximation
Auteur:
Fu, Michael C. Hill, Stacy D.
Verschenen in:
IIE transactions
Paginering:
Jaargang 29 (1997) nr. 3 pagina's 233-243
Jaar:
1997-03-01
Inhoud:
We investigate the use of simultaneous perturbation stochastic approximation for the optimization of discrete-event systems via simulation. Application of stochastic approximation to simulation optimization is basically a gradient-based method, so much recent research has focused on obtaining direct gradients. However, such procedures are still not as universally applicable as finite-difference methods. On the other hand, traditional finite-difference-based stochastic approximation schemes require a large number of simulation replications when the number of parameters of interest is large, whereas the simultaneous perturbation method is a finite-difference-like method that requires only two simulations per gradient estimate, regardless of the number of parameters of interest. This can result in substantial computational savings for large-dimensional systems. We report simulation experiments conducted on a variety of discrete-event systems: a single-server queue, a queueing network, and a bus transit network. For the single-server queue, we also compare our work with algorithms based on finite differences and perturbation analysis.
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