On Choosing Parameters in Retrospective-Approximation Algorithms for Stochastic Root Finding and Simulation Optimization

Authors:
Raghu Pasupathy
Affiliations:
Grado Department of Industrial and Systems Engineering, Virginia Tech, Blacksburg, Virginia 24061
Venue:
Operations Research
Year:
2010

Citing 22
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Abstract

The stochastic root-finding problem is that of finding a zero of a vector-valued function known only through a stochastic simulation. The simulation-optimization problem is that of locating a real-valued function's minimum, again with only a stochastic simulation that generates function estimates. Retrospective approximation (RA) is a sample-path technique for solving such problems, where the solution to the underlying problem is approached via solutions to a sequence of approximate deterministic problems, each of which is generated using a specified sample size, and solved to a specified error tolerance. Our primary focus, in this paper, is providing guidance on choosing the sequence of sample sizes and error tolerances in RA algorithms. We first present an overview of the conditions that guarantee the correct convergence of RA's iterates. Then we characterize a class of error-tolerance and sample-size sequences that are superior to others in a certain precisely defined sense. We also identify and recommend members of this class and provide a numerical example illustrating the key results.