Finite-time behavior of two simulation optimization algorithms

Investigates the finite-time behavior of two specific simulation optimization algorithms: a Robbins-Monro procedure applied in a conventional way and a more recently proposed single-run optimization algorithm. By applying these algorithms to simple systems it is shown that, in practice, convergence of the former algorithm can be slow while that of the latter is very fast. The authors also provide evidence that the choice of projection operator (to deal with constraints in the optimization problem) has a significant effect on the finite-time performance of the latter algorithm. These results provide some basic insight into the behavior of such algorithms