Title :
Stochastic optimization of regenerative systems using infinitesimal perturbation analysis
Author :
Chong, Edwin K P ; Ramadge, Peter J.
Author_Institution :
Sch. of Electr. Eng., Purdue Univ., West Lafayette, IN, USA
fDate :
7/1/1994 12:00:00 AM
Abstract :
We consider the problem of optimizing the steady-state mean of a controlled regenerative process using a stochastic optimization algorithm driven by infinitesimal perturbation analysis (IPA) derivative estimates. We derive IPA derivative estimates for our problem and prove almost sure convergence of the algorithm. The generality of our formulation should encompass a wide variety of practical systems. We illustrate our framework and results via several examples
Keywords :
optimisation; perturbation techniques; stochastic processes; IPA; almost sure convergence; infinitesimal perturbation analysis derivative estimates; regenerative systems; stochastic optimization; Algorithm design and analysis; Control systems; Convergence; Optimization methods; Process control; Queueing analysis; State estimation; Steady-state; Stochastic processes; Stochastic systems;
Journal_Title :
Automatic Control, IEEE Transactions on
