Two-timescale algorithms for simulation optimization of hidden Markov models

Two-timescale algorithms for simulation optimization of hidden Markov models

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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: , , ,
Keywords: simulation: analysis, simulation, optimization
Abstract:

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 (N + 1)-Simulation finite difference analogues and another Two-Simulation finite difference algorithm that updates in cycles.

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