DocumentCode
1126146
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
Volume
39
Issue
7
fYear
1994
fDate
7/1/1994 12:00:00 AM
Firstpage
1400
Lastpage
1410
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;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.299620
Filename
299620
Link To Document