Stochastic Optimization by Simulation: Numerical Experiments with the M/M/1 Queue in Steady-State
P. L’Ecuyer, N. Giroux, and P. W. Glynn
Management Science, Vol.40, 1245-1261 (1994)
This paper gives numerical illustrations of the behavior of stochastic approximation, combined with different derivative estimation techniques, to optimize a steady-state system. It is a companion paper to L'Ecuyer and Glynn (1994), which gives convergence proofs for most of the variants experimented here. The numerical experiments are made with a simple M/M/ 1 queue, which while simple, serves to illustrate the basic convergence properties and possible pitfalls of the various techniques.