Article ID: | iaor20022463 |
Country: | United States |
Volume: | 33 |
Issue: | 3 |
Start Page Number: | 245 |
End Page Number: | 258 |
Publication Date: | Mar 2001 |
Journal: | IIE Transactions |
Authors: | Fu Michael C., Marcus Steven I., Bhatnagar Shalabh, Bhatnagar Shashank |
Keywords: | simulation: analysis, simulation, optimization |
We propose two finite difference two-timescale Simultaneous Perturbation Stochastic Approximation algorithms for simulation optimization of hidden Markov models. Stability and convergence of both the algorithms is proved. Numerical experiments on a queueing model with high-dimensional parameter vectors demonstrate orders of magnitude faster convergence using these algorithms over related (