OPTIMIZATION OF QUEUES USING AN INFINITESIMAL PERTURBATION ANALYSIS-BASED STOCHASTIC ALGORITHM WITH GENERAL UPDATE TIMES

被引：40

作者：

CHONG, EKP ^{[1
]}

RAMADGE, PJ ^{[1
]}

机构：

[1] PRINCETON UNIV,DEPT ELECT ENGN,PRINCETON,NJ 08544

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 1993年 / 31卷 / 03期

关键词：

PERTURBATION ANALYSIS; STOCHASTIC APPROXIMATION; QUEUING;

D O I：

10.1137/0331032

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Convergence (with probability one) of a stochastic optimization algorithm for a single server queue is proved. The parameter to be optimized is updated using an infinitesimal perturbation analysis estimate of the gradient of the performance measure, and the updates are performed at general times. First, an algorithm in which the parameter is updated before each customer begins service is considered. Then it is shown how this analysis can be extended to an algorithm that updates at certain stopping times. The analysis suggests that the sample path behavior of the algorithm is similar to that of an algorithm that updates at the start of every busy period.

引用

页码：698 / 732

页数：35

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