Stochastic approximation for Monte Carlo optimization

Authors:
Peter W. Glynn
Affiliations:
Department of Industrial Elngineering and Mathematics Research Center, University of Wisconsin--Madison, Madison, WI
Venue:
WSC '86 Proceedings of the 18th conference on Winter simulation
Year:
1986

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Abstract

In this paper, we introduce two convergent Monte Carlo algorithms for optimizing complex stochastic systems. The first algorithm, which is applicable to regenerative processes, operates by estimating finite differences. The second method is of Robbins-Monro type and is applicable to Markov chains. The algorithm is driven by derivative estimates obtained via a likelihood ratio argument.