Data networks
Stochastic catastrophe theory in computer performance modeling
Journal of the ACM (JACM)
Convergent activation dynamics in continuous time networks
Neural Networks
Likelihood ratio gradient estimation for stochastic systems
Communications of the ACM - Special issue on simulation
Numerical methods for stochastic control problems in continuous time
Numerical methods for stochastic control problems in continuous time
Dynamic Programming and Optimal Control
Dynamic Programming and Optimal Control
Simulation and the Monte Carlo Method
Simulation and the Monte Carlo Method
Neuro-Dynamic Programming
A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
SIAM Journal on Control and Optimization
SIAM Journal on Control and Optimization
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Reinforcement Learning Based Algorithms for Average Cost Markov Decision Processes
Discrete Event Dynamic Systems
Adaptive Newton-based multivariate smoothed functional algorithms for simulation optimization
ACM Transactions on Modeling and Computer Simulation (TOMACS)
Brief Multiple-objective risk-sensitive control and its small noise limit
Automatica (Journal of IFAC)
Stochastic power control for wireless networks via SDEs: probabilistic QoS measures
IEEE Transactions on Information Theory
Mobility modeling, location tracking, and trajectory prediction in wireless ATM networks
IEEE Journal on Selected Areas in Communications
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We consider the problem of estimating the optimal parameter trajectory over a finite time interval in a parameterized stochastic differential equation (SDE), and propose a simulation-based algorithm for this purpose. Towards this end, we consider a discretization of the SDE over finite time instants and reformulate the problem as one of finding an optimal parameter at each of these instants. A stochastic approximation algorithm based on the smoothed functional technique is adapted to this setting for finding the optimal parameter trajectory. A proof of convergence of the algorithm is presented and results of numerical experiments over two different settings are shown. The algorithm is seen to exhibit good performance. We also present extensions of our framework to the case of finding optimal parameterized feedback policies for controlled SDE and present numerical results in this scenario as well.