Convergence Properties of Ordinal Comparison in the Simulation of Discrete Event Dynamic Systems

Journal of Optimization Theory and Applications

Volumn 91, Issue 2, 1996, Pages 363-388

  Dai, L ^a  

^a WASHINGTON UNIVERSITY IN ST LOUIS   (United States)

Author keywords

Discrete event dynamic systems; Simulation; Stochastic optimization

Indexed keywords

DISCRETE EVENT SIMULATION; OPTIMIZATION;

CONVERGENCE PROPERTIES; DISCRETE EVENT DYNAMIC SYSTEMS; EXPONENTIALS; FAST CONVERGENCE; PERFORMANCE MEASURE; PROPERTY; RATE OF CONVERGENCE; RECENT RESEARCHES; SIMULATION; STOCHASTIC OPTIMIZATIONS;

NORMAL DISTRIBUTION;

EID: 0030522942     PISSN: 00223239     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF02190101     Document Type: Article

References (31)

1. DOOB, J. L., Stochastic Processes, John Wiley and Sons, New York, New York, 1953.
2. SIMON, H., Economics, Bounded Rationality, and the Cognitive Revolution, Edward Elgar Publisher, Brookfield, Vermont, 1992.
3. KUSHNER, H. J., and CLARK, D. S., Stochastic Approximation for Constrained and Unconstrained Systems, Springer Verlag, New York, New York, 1978.
4. FABIAN, V., Stochastic Approximation, Optimizing Methods in Statistics, Edited by J. S. Rustagi, Academic Press, New York, New York, pp. 439-470, 1971.
5. DUPUIS, P., and KUSHNER, H. J., Stochastic Approximation and Large Deviations: Upper Bounds and w.p.1 Convergence, SIAM Journal on Control and Optimization, Vol. 27, pp. 1108-1135, 1989.
6. BARNHART, C. M., WIESELTHIER, J. E., and EPHREMIDES, A., Ordinal Optimization by Means of Standard Clock Simulation and Crude Analytical Models, Proceedings of the 33rd Conference on Decision and Control, Lake Buena Vista, Florida, pp. 2645-2647, 1994.
7. HO, Y. C., Heuristics, Rule of Thumb, and the 80/20 Proposition, IEEE Transactions on Automatic Control, Vol. 39, pp. 1025-1027, 1994.
8. HO, Y. C., Overview of Ordinal Optimization, Proceedings of the 33rd Conference on Decision and Control, Lake Buena Vista, Florida, pp. 1975-1977, 1994.
9. HO, Y. C., and DENG, M., The Problem of Large Search Space in Stochastic Optimization, Proceedings of the 33rd Conference on Decision and Control, Lake Buena Vista, Florida, pp. 1470-1475, 1994.
10. HO, Y. C., SREENIVAS, R. S., and VAKILI, P., Ordinal Optimization in DEDS, Discrete Event Dynamic Systems: Theory and Applications, Vol. 2, pp. 61-88, 1992.
11. PATSIS, N., CHEN, C. H., and LARSON, M., Parallel Simulations of DEDS, IEEE Transactions on Control Technology, 1996 (to appear).
12. CASSANDRAS, C. G., and BAO, G., A Stochastic Comparison Algorithm for Continuous Optimization with Estimations, Proceedings of the 33rd Conference on Decision and Control, Lake Buena Vista, Florida, pp. 676-677, 1994.
13. CASSANDRAS, C. G., and JULKA, V., Descent Algorithms for Discrete Resource Allocation Problems, Proceedings of the 33rd Conference on Decision and Control, Lake Buena Vista, Florida, pp. 2639-2644, 1994.
14. GONG, W. B., HO, Y. C., and ZHAI, W., Stochastic Comparison Algorithm for Discrete Optimization with Estimations, Discrete Event Dynamic Systems: Theory and Applications, 1996 (to appear).
15. YAN, D., and MUKAI, H., Optimization Algorithm with Probabilistic Estimation, Journal of Optimization Theory and Applications, Vol. 79, pp. 345-371, 1993.
16. VAKILI, P., MOLLAMUSTAFLAGLU, L., and HO, Y. C., Massively Parallel Simulation of a Class of Discrete Event Systems, Proceedings of the IEEE Frontiers MPC-92 Symposium, Washington, DC, 1992.
17. CASSANDRAS, C. G., and STRICKLAND, S., Observable Augmented Systems for Sensitivity Analysis of Markov and Semi-Markov Processes, IEEE Transactions on Automatic Control, Vol. 34, pp. 1026-1037, 1989.
18. PAN, J., and CASSANDRAS, C. G., Parallel Sample Path Construction Techniques for Discrete Event Systems: K-Constructabilily and Applications, Proceedings of the 33rd Conference on Decision and Control, Lake Buena Vista, Florida, pp. 1978-1983, 1994.
19. FUJIMOTO, R. M., Parallel Discrete Event Simulation, Communications of the ACM, Vol. 33, pp. 31-53, 1990.
20. SANTNER, T. J., and TAMHANE, A. C., Design of Experiments, Marcel Dekker, New York, New York, 1984.
21. HO, Y. C., DENG, M., and HU, J., Effect of Correlated Estimation Error in Ordinal Optimization, Proceedings of the 1992 Winter Simulation Conference, pp. 466-475, 1992.
22. GLASSERMAN, P., and VAKILI, P., Comparing Markov Chains Simulated in Parallel, Probability in the Engineering and Information Sciences, Vol. 8, pp. 309-326, 1994.
23. SHEDLER, G. S., Regeneration and Networks of Queues, Springer Verlag, New York, New York, 1987.
24. KALASHNIKOV, V. V., Topics on Regenerative Processes, CRC Press, Boca Raton, Florida, 1994.
25. STRICKLAND, S. G., Importance Sampling for Quick Simulation of Rare Events, Unpublished Manuscript, University of Virginia, 1993.
26. KLEINROCK, L., Queueing Systems, Vol. 1, John Wiley and Sons, New York, New York, 1975.
27. THORISSON, H., The Queue GI/G/1: Finite Moments of the Cycle Variables and Uniform Rates of Convergence, Stochastic Processes and Their Applications, Vol. 19, pp. 85-99, 1985.
28. IGLEHART, D. L., and SHEDLER, G. S., Statistical Efficiency of Regenerative Simulation Methods for Networks of Queues, Advances in Applied Probability, Vol. 15, pp. 183-197, 1983.
29. HO, Y. C., and CAO, X. R., Perturbation Analysis of Discrete Event Dynamic Systems, Kluwer Academic Publishers, Boston, Massachusetts, 1991.
30. DEUSCHEL, J. D., and STROOK, D. W., Large Deviations, Academic Press, Boston, Massachusetts, 1989.
31. KOTZ, S., and JOHNSON, N. L., Encyclopedia of Statistical Sciences, John Wiley, New York, New York, Vol. 5, 1985.