@ARTICLE {oALE68a, AUTHOR="V. M. Aleksandrov and V. I. Sysoyev and V. V. Shemeneva", YEAR={1968}, TITLE="Stochastic Optimization", JOURNAL={Engineering Cybernetics}, VOLUME={5}, PAGES={11--16} } @INPROCEEDINGS {oALE95a, AUTHOR="A. Alessandri and T. Parisini", TITLE="Nonlinear Modelling and State Estimation in a Real Power Plant Using Neural Networks and Stochastic Approximation", BOOKTITLE={Proceedings of the American Control Conference}, xPUBLISHER={ \ }, YEAR={1995}, PAGES={1561--1567} } @INPROCEEDINGS {oAND90a, AUTHOR="S. Andrad{\'o}ttir", TITLE="A New Algorithm for Stochastic Approximation", BOOKTITLE={Proceedings of the 1990 Winter Simulation Conference}, PUBLISHER={IEEE Press}, YEAR={1990}, PAGES={364--366} } @UNPUBLISHED {oAND91a, AUTHOR="S. Andrad{\'o}ttir", TITLE="A Stochastic Approximation Algorithm with Bounded Iterates", INSTITUTION={Department of Industrial Engineering, University of Wisconsin}, ADDRESS={Madison}, NOTE={Manuscript}, YEAR={1991} } @INPROCEEDINGS {oAND91b, AUTHOR="S. Andrad{\'o}ttir", TITLE="A Projected Stochastic Approximation Algorithm", BOOKTITLE={Proceedings of the 1991 Winter Simulation Conference}, PUBLISHER={IEEE Press}, YEAR={1991}, PAGES={954--957} } @UNPUBLISHED {oAND91c, AUTHOR="S. Andrad{\'o}ttir", TITLE="Optimization of the Steady-State Behavior of Discrete Event Systems", INSTITUTION={Department of Industrial Engineering, University of Wisconsin}, ADDRESS={Madison}, NOTE={Manuscript}, YEAR={1991} } @UNPUBLISHED {oAND92a, AUTHOR="S. Andrad{\'o}ttir", TITLE="A Stochastic Approximation Algorithm with Varying Bounds", INSTITUTION={Department of Industrial Engineering, University of Wisconsin at Madison}, NOTE={Preprint}, YEAR={1992} } @ARTICLE {oAND95a, AUTHOR="S. Andrad{\'o}ttir", TITLE="A Scaled Stochastic Approximation Algorithm", JOURNAL={Management Science}, NOTE={To appear}, YEAR={1995} } @UNPUBLISHED {oAND95b, AUTHOR="S. Andrad{\'o}ttir", TITLE="Optimization of the Transient and Steady-State Behavior of Discrete Event Systems", INSTITUTION={Department of Industrial Engineering, University of Wisconsin}, ADDRESS={Madison}, NOTE={Manuscript}, YEAR={1995} } @ARTICLE {oAND95c, AUTHOR="S. Andrad{\'o}ttir", TITLE="A Stochastic Approximation Algorithm with Varying Bounds", JOURNAL={Operations Research}, YEAR={1995}, VOLUME={43}, NUMBER={6}, PAGES={1037--1048} } @ARTICLE {oARS89a, AUTHOR="H. Arsham and A. Feuerverger and D. L. McLeish and J. Kreimer and R. Y. Rubinstein", YEAR={1989}, TITLE="Sensitivity Analysis and the ``What If'' Problem in Simulation Analysis", JOURNAL={Math. Comput. Modelling}, VOLUME={12}, NUMBER={2}, PAGES={193--219} } @BOOK {oASM87a, AUTHOR="S. Asmussen", TITLE={Applied Probability and Queues}, PUBLISHER={Wiley}, YEAR={1987} } @UNPUBLISHED {oASM91a, AUTHOR="S. Asmussen", TITLE="Performance Evaluation for the Score Function Method in Sensitivity Analysis and Stochastic Optimization", YEAR={1991}, NOTE={Manuscript}, INSTITUTION={Chalmers University of Technology}, ADDRESS={G{\"o}teborg, Sweden} } @UNPUBLISHED {oASM91b, AUTHOR="S. Asmussen and R. Y. Rubinstein", TITLE={The Performance of Likelihood Ratio Estimators Using the Score Function}, INSTITUTION={Chalmers University of Technology}, ADDRESS={G{\"o}teborg, Sweden}, YEAR={1991}, NOTE={Manuscript} } @ARTICLE {oASM92a, AUTHOR="S. Asmussen and R. Y. Rubinstein", YEAR={1992}, TITLE="The Efficiency and Heavy Traffic Properties of the Score Function Method in Sensitivity Analysis of Queueing Models", JOURNAL={Adv. Appl. Prob.}, VOLUME={24}, PAGES={172--201} } @ARTICLE {oATH78a, AUTHOR="K. B. Athreya and P. Ney", TITLE="A New Approach to the Limit Theory of Recurrent Markov Chains", JOURNAL={Trans. Amer. Math. Soc.}, VOLUME={245}, YEAR={1978}, PAGES={493--501} } @ARTICLE {oAZA80a, AUTHOR="F. Azadivar and J. Talavage", TITLE="Optimization of Stochastic Simulation Models", JOURNAL={Mathematics and Computers in Simulation}, VOLUME={XXII}, YEAR={1980}, PAGES={231--241} } @ARTICLE {oBAC90a, AUTHOR="F. Bacelli and P. Br{\'e}maud", YEAR={1990}, TITLE="Virtual Customers in Sensitivity and Light Traffic Analysis Via {C}ampbell's Formula for Point Processes", NOTE={To appear}, JOURNAL={Advances in Applied Probabilities} } @INPROCEEDINGS {oBAT89a, AUTHOR="J. A. Bather", YEAR={1989}, TITLE="Stochastic approximation: A generalization of the {R}obbins-{M}onro procedure", BOOKTITLE="Proceedings of the Fourth Prague Symposium Asymptotic Statist.", EDITOR={P. Mandl and M. Hu\v{s}kov\'a}, PAGES={13--27} } @BOOK {oBEN87a, AUTHOR="A. Benveniste and M. M{\'e}tivier and P. Priouret", YEAR={1987}, TITLE={Algorithmes Adaptatifs et Approximations Stochastiques}, LANGUAGE={French}, PUBLISHER={Masson}, ADDRESS={Paris} } @BOOK {obEN90a, AUTHOR="A. Benveniste and M. M{\'e}tivier and P. Priouret", YEAR={1990}, TITLE={Adaptive Algorithms and Stochastic Approximation}, PUBLISHER={Springer-Verlag}, ADDRESS={New York} } @BOOK {oBIL68a, AUTHOR="P. Billingsley", YEAR={1968}, TITLE={Convergence of Probability Measures}, PUBLISHER={John Wiley}, ADDRESS={New York} } @BOOK {oBIL79a, AUTHOR="P. Billingsley", YEAR={1979}, TITLE={Probability and Measure}, LANGUAGE={English}, PUBLISHER={Wiley}, ADDRESS={New York} } @UNPUBLISHED {oBRE91a, AUTHOR="P. Br{\'e}maud", YEAR={1991}, TITLE="Maximal Coupling and Rare Perturbation Analysis", NOTE={Manuscript} } @ARTICLE {oBRE92a, AUTHOR="P. Br\'emaud and F. J. V\'{a}zquez-Abad", YEAR={1992}, TITLE="On the Pathwise Computation of Derivatives with Respect to the Rate of a Point Process: The Phantom RPA Method", JOURNAL={Queueing Systems}, VOLUME={10}, PAGES={249--270} } @ARTICLE {oCAO87a, AUTHOR="X.-R. Cao", YEAR={1987}, TITLE="Sensitivity Estimates Based on One Realization of a Stochastic System", JOURNAL={J. Stat. Comput. Simul.}, VOLUME={27}, PAGES={211--232} } @MASTERSTHESIS {oCAU94a, AUTHOR="G. Cauwenberghs", TITLE={Analog VLSI Autonomous Systems for Learning and Optimization}, SCHOOL={California Institute of Technology}, LANGUAGE={English}, MONTH={ \ }, YEAR={1994} } @ARTICLE {oCHE86a, AUTHOR="H. F. Chen and Y. M. Zhu", YEAR={1986}, TITLE="Stochastic Approximation Procedure with Randomly Varying Truncations", JOURNAL={Scientic Sinica}, VOLUME={29}, NUMBER={series A}, PAGES={914--926} } @INPROCEEDINGS {oCHI93a, AUTHOR="D. C. Chin", TITLE="Performance of Several Stochastic Approximation Algorithms in the Multivariate {K}iefer-{W}olfowitz Setting", BOOKTITLE={Proceedings of the 25th Symposium on the Interface: Computing Science and Statistics}, YEAR={1993}, PAGES={289--295} } @INPROCEEDINGS {oCHI94a, AUTHOR="D. C. Chin", TITLE="Comparative Study of Stochastic Gradient-Free Algorithms for System Optimization", BOOKTITLE={Proceedings of the American Control Conference}, YEAR={1994}, PAGES={3070--3075} } @ARTICLE {oCHI94b, AUTHOR="D. C. Chin", YEAR={1994}, TITLE="A More Efficient Global Optimization Algorithm Based on Styblinski and Tang", JOURNAL={Neural Networks}, PAGES={573--574} } @INPROCEEDINGS {oCHI94c, AUTHOR="D. C. Chin and R. H. Smith", TITLE="A Traffic Simulation for Mid-Manhattan with Model-Free Adaptive Signal Control", BOOKTITLE={Proceedings of the Summer Computer Simulation Conference}, YEAR={1994}, PAGES={296--301} } @ARTICLE {oCHI95a, AUTHOR="D. C. Chin", YEAR={1995}, TITLE="Comparative Study of Stochastic Algorithms for Systems Optimization Based on Gradient Approximations", JOURNAL={IEEE Transactions on Systems, Man, and Cybernetics}, VOLUME={26}, NOTE={in press for 1996}, PAGES={xxx} } @INPROCEEDINGS {oCHI95b, AUTHOR="D. C. Chin and J. L. Maryak", TITLE="A Cautionary Note for Using Iterate Averaging in Stochastic Approximation", BOOKTITLE={Proceedings of the 1996 IFAC World Congress}, YEAR={1995}, NOTE={Submitted}, PAGES={xxx} } @INPROCEEDINGS {oCHO90a, AUTHOR="E. K. P. Chong and P. J. Ramadge", TITLE="On a Stochastic Optimization Algorithm Using {IPA} Which Updates After Every Customer", BOOKTITLE={Proceedings of the 28-th Allerton Conference on Communication, Control, and Computing}, YEAR={1990}, PAGES={658--667} } @ARTICLE {oCHO92a, AUTHOR="E. K. P. Chong and P. J. Ramadge", TITLE="Convergence of Recursive Optimization Algorithms Using Infinitesimal Perturbation Analysis Estimates", JOURNAL={Discrete Event Dynamic Systems: Theory and Applications}, VOLUME={1}, YEAR={1992}, PAGES={339--372} } @UNPUBLISHED {oCHO92b, AUTHOR="E. K. P. Chong and P. J. Ramadge", TITLE="Stochastic Optimization of Regenerative Systems using Infinitesimal Perturbation Analysis", NOTE={Submitted for publication}, YEAR={1992} } @ARTICLE {oCHO93a, AUTHOR="E. K. P. Chong and P. J. Ramadge", TITLE="Optimization of Queues Using an {IPA} Based Stochastic Algorithm with General Update Times", JOURNAL={SIAM Journal on Control and Optimization}, VOLUME={31}, NUMBER={3}, YEAR={1993}, PAGES={698--732} } @ARTICLE {oCHU54a, AUTHOR="K. L. Chung", TITLE="On a Stochastic Approximation Method", JOURNAL={Annals of Mathematical Statistics}, VOLUME={25}, YEAR={1954}, PAGES={463--483} } @BOOK {oCHU74a, AUTHOR="K. L. Chung", TITLE={A Course in Probability Theory}, PUBLISHER={Academic Press}, ADDRESS={New York}, YEAR={1974} } @TECHREPORT {oDEY91a, AUTHOR="B. Delyon and A. Juditsky", TITLE="Accelerated Stochastic Approximation", NUMBER={601}, INSTITUTION={IRISA}, ADDRESS={Rennes, France}, NOTE={Published in SIAM J. Optimization, 1993}, YEAR={1991} } @BOOK {oDIE69a, AUTHOR="J. Dieudonn{\'e}", TITLE={Foundations of Modern Analysis}, EDITION={second}, PUBLISHER={Academic Press}, ADDRESS={New York}, YEAR={1969} } @TECHREPORT {oDIP94a, AUTHOR="J. Dippon and J. Renz", TITLE="Weighted Means of Processes in Stochastic Approximation", NUMBER={Preprint Nr. 94-5}, INSTITUTION={Universitat Stuttgart, Mathematisches Institut A}, YEAR={1994} } @BOOK {oEFR82a, AUTHOR="B. Efron", TITLE="The Jackknife, the Bootstrap, and Other Resampling Plans", EDITION={CBMS-NFS Regional Conference Series}, SERIES={Applied Mathematics}, PUBLISHER={SIAM}, YEAR={1982} } @BOOK {oERM88a, AUTHOR="Y. M. Ermoliev and R. J.-B. Wets", TITLE="Numerical Techniques for Stochastic Optimization", PUBLISHER={Springer-Verlag}, YEAR={1988}, ADDRESS={Berlin} } @ARTICLE {oERM92a, AUTHOR="Y. M. Ermoliev and A. A. Gaivoronski", YEAR={1992}, TITLE="Stochastic Quasigradient Methods for Optimization of Discrete Event Systems", JOURNAL={Annals of Operations Research}, VOLUME={39}, PAGES={1--39} } @BOOK {oETH86a, AUTHOR="S. N. Ethier and T. G. Kurtz", TITLE={Markov Processes: Characterization and Convergence}, PUBLISHER={J. Wiley}, ADDRESS={New York}, YEAR={1986} } @ARTICLE {oFAB68a, AUTHOR="V. Fabian", TITLE="On Asymptotic Normality in Stochastic Approximation", JOURNAL={Annals of Mathematical Statistics}, VOLUME={39}, YEAR={1968}, PAGES={1327--1332} } @ARTICLE {oFOX86a, AUTHOR="B. L. Fox and P. W. Glynn", TITLE="Discrete-Time Conversion for Simulating Semi-Markov Processes", JOURNAL={Operations Research Letters}, VOLUME={5}, YEAR={1986}, PAGES={191--196} } @TECHREPORT {oFOX89a, AUTHOR="B. L. Fox", TITLE="Computing Expected Cumulative Reward Up to Absorption and Its Gradient", INSTITUTION={Math. Dept. Univ. of Colorado}, ADDRESS={Colorado, U.S.A.}, YEAR={1989} } @ARTICLE {oFOX89b, AUTHOR="B. L. Fox and P. W. Glynn", TITLE="Simulating Discounted Costs", JOURNAL={Management Science}, VOLUME={35}, NUMBER={11}, YEAR={1989}, PAGES={1297--1315} } @ARTICLE {oFOX90a, AUTHOR="B. L. Fox and P. W. Glynn", TITLE="Discrete-Time Conversion for Simulating Finite-Horizon Markov Processes", JOURNAL={SIAM J. Appl. Math.}, YEAR={1990} } @ARTICLE {oFOX90b, AUTHOR="B. L. Fox", TITLE="Generating Markov-Chain Transitions Quickly: I", JOURNAL={ORSA J. Computing}, NOTE={To appear}, YEAR={1990} } @INPROCEEDINGS {oFU88a, AUTHOR="M. C. Fu. and Y.-C. Ho", TITLE="Using Perturbation Analysis for Gradient Estimation, Averaging and Updating in a Stochastic Approximation Algorithm", BOOKTITLE={Proceedings of the 1988 Winter Simulation Conference}, PUBLISHER={IEEE Press}, YEAR={1988}, PAGES={509--517} } @ARTICLE {oFU90a, AUTHOR="M. C. Fu", TITLE="Convergence of a Stochastic Approximation Algorithm for the $GI/G/1$ Queue Using Infinitesimal Perturbation Analysis", JOURNAL={Journal of Optimization Theory and Applications}, VOLUME={65}, NUMBER={1}, YEAR={1990}, PAGES={149--160} } @ARTICLE {oFU93a, AUTHOR="M. C. Fu and J.-Q. Hu", YEAR={1993}, TITLE="Second Derivative Sample Path Estimators for the $GI/G/m$ Queue", JOURNAL={Management Science}, VOLUME={39}, NUMBER={3}, MONTH={March}, PAGES={359--383} } @ARTICLE {oFU94a, AUTHOR="M. C. Fu", TITLE="Optimization by Simulation: A Review", JOURNAL={Annals of Operations Research}, VOLUME={53}, YEAR={1994}, PAGES={199--248} } @INPROCEEDINGS {oGAI92a, AUTHOR="A. Gaivoronski", TITLE="Optimization of Stochastic Discrete Event Dynamic Systems: A Survey of Some Recent Results", BOOKTITLE={Lecture Notes in Economics and Mathematical Systems}, VOLUME={374}, YEAR={1992}, NOTE={Proceedings of the 1990 Vienna Conference on Computationally Intensive Methods in Simulation and Optimization}, EDITOR={G. Pflug and U. Dieter}, PAGES={24--44} } @MASTERSTHESIS {oGIR89a, AUTHOR="N. Giroux", TITLE={Optimisation Stochastique de Type {M}onte {C}arlo}, SCHOOL={D{\'e}pt. d'Informatique, Univ. Laval}, LANGUAGE={French}, MONTH={Jan}, YEAR={1989} } @INPROCEEDINGS {oGLA88a, AUTHOR="P. Glasserman", YEAR={1988}, TITLE="Performance Continuity and Differentiability in {M}onte {C}arlo Optimization", BOOKTITLE={Proceedings of the 1988 Winter Simulation Conference}, PUBLISHER={IEEE Press}, PAGES={518--524} } @UNPUBLISHED {oGLA88b, AUTHOR="P. Glasserman", YEAR={1988}, TITLE="Structural Conditions for Perturbation Analysis Derivative Estimation: Finite-Time Performance Indices", NOTE={Manuscript}, INSTITUTION={Harvard University} } @UNPUBLISHED {oGLA88c, AUTHOR="P. Glasserman", YEAR={1988}, TITLE="Structural Conditions for Perturbation Analysis of Queueing Systems", NOTE={Manuscript}, INSTITUTION={Harvard University} } @TECHREPORT {oGLA89a, AUTHOR="P. Glasserman", TITLE="Derivative Estimates from Simulation of Continuous-Time Markov Chains", LANGUAGE={English}, INSTITUTION={AT\&T Bell Laboratories Holmdel}, YEAR={1989} } @UNPUBLISHED {oGLA90a, AUTHOR="P. Glasserman", YEAR={1990}, TITLE="Stochastic Monotonicity, Total Positivity, and Conditional {M}onte {C}arlo for Likelihood Ratios", INSTITUTION={AT{\&}T Bell Laboratories}, ADDRESS={Holmdel, New Jersey}, NOTE={Manuscript} } @ARTICLE {oGLA90b, AUTHOR="P. Glasserman and W. B. Gong", YEAR={1990}, TITLE="Smoothed Perturbation Analysis for a Class of Discrete Event Systems", JOURNAL={IEEE Transactions on Automatic Control}, VOLUME={AC-35}, NUMBER={11}, PAGES={1218--1230} } @ARTICLE {oGLA90c, AUTHOR="P. Glasserman and J.-Q. Hu and S. G. Strickland", YEAR={1990}, TITLE="Strongly Consistent Steady-State Derivative Estimates", NOTE={To appear}, JOURNAL={Probability in the Engineering and Information Sciences} } @BOOK {oGLA91a, AUTHOR="P. Glasserman", YEAR={1991}, TITLE={Gradient Estimation Via Perturbation Analysis}, PUBLISHER={Kluwer Academic}, ADDRESS={Norwell, MA} } @ARTICLE {oGLA91b, AUTHOR="P. Glasserman", YEAR={1991}, TITLE="Structural Conditions for Perturbation Analysis Derivative Estimation: Finite-Time Performance Indices", NOTE={To appear}, JOURNAL={Operations Research} } @ARTICLE {oGLA91c, AUTHOR="P. Glasserman", YEAR={1991}, TITLE="Derivative Estimates from Simulation of Continuous-Time {M}arkov Chains", NOTE={To appear}, JOURNAL={Operations Research} } @INPROCEEDINGS {oGLY86a, AUTHOR="P. W. Glynn", YEAR={1986}, TITLE="Stochastic Approximation for {M}onte-{C}arlo Optimization", BOOKTITLE={Proceedings of the 1986 Winter Simulation Conference}, PUBLISHER={IEEE Press}, PAGES={356--364} } @INPROCEEDINGS {oGLY86b, AUTHOR="P. W. Glynn", YEAR={1986}, TITLE="Optimization of Stochastic Systems via Simulation", BOOKTITLE={Proceedings of the 1986 Winter Simulation Conference}, PUBLISHER={IEEE Press}, PAGES={52--59} } @INPROCEEDINGS {oGLY87a, AUTHOR="P. W. Glynn", YEAR={1987}, TITLE="Likelihood Ratio Gradient Estimation: an Overview", BOOKTITLE={Proceedings of the 1987 Winter Simulation Conference}, PUBLISHER={IEEE Press}, PAGES={366--375} } @ARTICLE {oGLY88a, AUTHOR="P. W. Glynn and D. L. Iglehart", YEAR={1988}, TITLE="Simulation Methods for Queues: an Overview", JOURNAL={Queueing Systems}, VOLUME={3}, PAGES={221--255} } @INPROCEEDINGS {oGLY89a, AUTHOR="P. W. Glynn", YEAR={1989}, TITLE="Optimization of Stochastic Systems Via Simulation", BOOKTITLE={Proceedings of the 1989 Winter Simulation Conference}, PUBLISHER={IEEE Press}, PAGES={90--105} } @ARTICLE {oGLY89b, AUTHOR="P. W. Glynn", YEAR={1989}, TITLE="A {GSMP} Formalism for Discrete Event Systems", JOURNAL={Proceedings of the IEEE}, VOLUME={77}, PAGES={14--23} } @ARTICLE {oGLY90a, AUTHOR="P. W. Glynn", YEAR={1990}, TITLE="Likelihood Ratio Gradient Estimation for Stochastic Systems", JOURNAL={Communications of the ACM}, VOLUME={33}, NUMBER={10}, PAGES={75--84} } @ARTICLE {oGLY90b, AUTHOR="P. W. Glynn and P. Heidelberger", YEAR={1990}, TITLE="Bias Properties of Budget Constrained Simulations", JOURNAL={Operations Research}, VOLUME={38}, NUMBER={5}, PAGES={801--814} } @INPROCEEDINGS {oGLY91a, AUTHOR="P. W. Glynn and P. L'Ecuyer and M. Ad{\`e}s", TITLE="Gradient Estimation for Ratios", BOOKTITLE={Proceedings of the 1991 Winter Simulation Conference}, MONTH={Dec}, YEAR={1991}, PAGES={986--993} } @ARTICLE {oGLY92a, AUTHOR="P. W. Glynn", YEAR={1992}, TITLE="Pathwise Convexity and Its Relation to Convergence of Time-Average Derivatives", JOURNAL={Management Science}, VOLUME={38}, NUMBER={9}, PAGES={1360--1366} } @ARTICLE {oGLY92b, AUTHOR="P. W. Glynn and W. Whitt", YEAR={1992}, TITLE="The Asymptotic Efficiency of Simulation Estimators", JOURNAL={Operations Research}, VOLUME={40}, NUMBER={3}, PAGES={505--520} } @ARTICLE {oGLY94a, AUTHOR="P. W. Glynn and P. L'Ecuyer", TITLE="Likelihood Ratio Gradient Estimation for Regenerative Stochastic Recursions", YEAR={1994}, JOURNAL={Advances in Applied Probability}, NOTE={to appear} } @INPROCEEDINGS {oGLY94b, AUTHOR="P. W. Glynn and P. L'Ecuyer", TITLE="On the Existence and Estimation of Performance Measure Derivatives for Stochastic Recursions", NOTE={Proceedings of the 11th International Conference on Analysis and Optimization of Systems}, BOOKTITLE={Lectures Notes in Control and Information Sciences}, VOLUME={199}, YEAR={1994}, MONTH={June}, PAGES={429--435} } @ARTICLE {oGOL88a, AUTHOR="L. Goldstein", TITLE="On the Choice of Step Size in the {R}obbins--{M}onro Procedure", JOURNAL={Statistics and Probability Letters}, VOLUME={6}, YEAR={1988}, PAGES={299--303} } @ARTICLE {oGON87a, AUTHOR="W. B. Gong and Y.-C. Ho", YEAR={1987}, TITLE="Smoothed (Conditional) Perturbation Analysis of Discrete Event Dynamical Systems", JOURNAL={IEEE Transactions on Automatic Control}, VOLUME={AC-32}, NUMBER={10}, PAGES={858--866} } @INPROCEEDINGS {oGON88a, AUTHOR="W.-B. Gong", YEAR={1988}, TITLE="Smoothed Perturbation Analysis Algorithm for a $GI/G/1$ Routing Problem", BOOKTITLE={Proceedings of the 1988 Winter Simulation Comference}, PUBLISHER={IEEE Press}, PAGES={525--531} } @TECHREPORT {oGOY89a, AUTHOR="A. Goyal and P. Shahabuddin and P. Heildelberger and V. F Nicola and P. W. Glynn", TITLE="A Unified Framework for Simulating Markovian Models of Highly Dependable Systems", LANGUAGE={English}, NUMBER={RC 14772}, INSTITUTION={IBM Research Division}, YEAR={1989} } @BOOK {oGUT88a, AUTHOR="A. Gut", TITLE={Stopped Random Walks; Limit Theorems and Applications}, PUBLISHER={Springer-Verlag}, YEAR={1988} } @ARTICLE {oHAU86a, AUTHOR="A. Haurie and P. L'Ecuyer", YEAR={1986}, TITLE="Approximation and Bounds in Discrete Event Dynamic Programming", JOURNAL={IEEE Trans. on Automatic Control}, VOLUME={AC-31}, NUMBER={3}, PAGES={227--235} } @INPROCEEDINGS {oHAU90a, AUTHOR="A. Haurie and {Ch. Van Delft} and P. L'Ecuyer", TITLE="Optimization by Simulation in Manufacturing Flow Control Models", BOOKTITLE={Proceedings, Rensselaer's Second International Conference On Computer Integrated Manufacturing}, ADDRESS={Troy, New York}, PUBLISHER={IEEE Press}, MONTH={May}, YEAR={1990}, PAGES={214--221} } @INPROCEEDINGS {oHAU90b, AUTHOR="A. Haurie and P. L'Ecuyer and {Ch. Van Delft}", TITLE="Monte Carlo Optimization of Parametrized Policies in a Class of Piecewise Deterministic Control Systems Arising in Manufacturing Flow Control", BOOKTITLE={Proceedings of the 29th IEEE Conference on Decision and Control}, ADDRESS={Honolulu, Hawaii}, MONTH={Dec}, YEAR={1990}, PAGES={587--589} } @ARTICLE {oHAU94a, AUTHOR="A. Haurie and P. L'Ecuyer and {Ch. Van Delft}", TITLE="{M}onte-{C}arlo Optimization of Parametrized Policies in a Class of Piecewise Deterministic Control Systems Arising in Manufacturing Flow Control", JOURNAL={Discrete Event Dynamic Systems: Theory and Applications }, YEAR={1994}, VOLUME={4}, NUMBER={1}, PAGES={87--111} } @ARTICLE {oHEI88a, AUTHOR="P. Heidelberger and X.-R. Cao and M. A. Zazanis and R. Suri", YEAR={1988}, TITLE="Convergence Properties of Infinitesimal Pertubation Analysis Estimates", JOURNAL={Management Science}, VOLUME={34}, NUMBER={11}, PAGES={1281--1302} } @ARTICLE {oHEI89a, AUTHOR="P. Heidelberger and D. Towsley", YEAR={1989}, TITLE="Sensitivity Analysis from Sample Paths using Likelihoods", JOURNAL={Management Science}, VOLUME={35}, NUMBER={12}, PAGES={1475--1488} } @INPROCEEDINGS {oHIL94a, AUTHOR="S. D. Hill and M. C. Fu", TITLE="Simulation Optimization via Simultaneous Perturbation Stochastic Approximation", BOOKTITLE={Proceedings of the Winter Simulation Conference}, EDITOR={J. D. Tew and S. Manivannan and D. A. Sadowski and A. F. Seila}, ADDRESS={ \ }, YEAR={1994}, PAGES={1461--1464} } @ARTICLE {oHIL95a, AUTHOR="S. D. Hill and M. C. Fu", YEAR={1995}, TITLE="Optimization Via Simulation: Numerical Experiments and Convergence Analysis for Transit and Queueing Networks", JOURNAL={Transactions of the Institute of Industrial Engineering}, NOTE={Submitted}, PAGES={xxx} } @ARTICLE {oHO79a, AUTHOR="Y. C. Ho and M. A. Eyler and T. T. Chien", YEAR={1979}, TITLE="A Gradient Technique for General Buffer Storage Design in a Serial Production Line", JOURNAL={Int. J. Prod. Res.}, VOLUME={17}, PAGES={557--580} } @ARTICLE {oHO83a, AUTHOR="Y.-C. Ho and X.-R. Cao", YEAR={1983}, TITLE="Perturbation Analysis and Optimization of Queueing Networks", JOURNAL={J. Optimization Theory and Applications}, VOLUME={40}, PAGES={559--582} } @ARTICLE {oHO87a, AUTHOR="Y.-C. Ho", YEAR={1987}, TITLE="Performance Evaluation and Perturbation Analysis of Discrete Event Dynamic Systems", JOURNAL={IEEE Transactions on Automatic Control}, VOLUME={AC-32}, NUMBER={7}, PAGES={563--572} } @ARTICLE {oHO88a, AUTHOR="Y.-C. Ho and S. Li", YEAR={1988}, TITLE="Extensions to the Perturbation Analysis Techniques for Discrete Event Dynamic Systems", JOURNAL={IEEE Transactions on Automatic Control}, VOLUME={33}, NUMBER={5}, PAGES={427--438} } @UNPUBLISHED {oHO90a, AUTHOR="Y.-C Ho and S. G. Strickland", YEAR={1990}, TITLE="A Taxonomy of Perturbation Analysis Techniques", NOTE={Manuscript}, INSTITUTION={Harvard University} } @BOOK {oHO91a, AUTHOR="Y.-C. Ho and X.-R. Cao", TITLE={Discrete-Event Dynamic Systems and Perturbation Analysis}, PUBLISHER={Kluwer Academic}, ADDRESS={Norwell, MA}, YEAR={1991} } @ARTICLE {oHU91b, AUTHOR="J. Q. Hu and S. G. Strickland", YEAR={1991}, TITLE="General Conditions for Strong Consistency of Sample Path Derivative Estimates", NOTE={To appear}, JOURNAL={Applied Mathematics Letters} } @INPROCEEDINGS {oIGL80a, AUTHOR="D. L. Iglehart and G. S. Shedler", TITLE="Regenerative Simulation of Response Times in Networks of Queues", BOOKTITLE={Lecture Notes in Control and Information Sciences}, VOLUME={26}, PUBLISHER={Springer-Verlag}, YEAR={1980}, PAGES={} } @ARTICLE {oJAC89a, AUTHOR="S. Jacobson and L. W. Schruben", YEAR={1989}, TITLE="A Review of Techniques for Simulation Optimization", JOURNAL={Operations Research Letters}, VOLUME={8}, PAGES={1--9} } @UNPUBLISHED {oJAC91a, AUTHOR="S. H. Jacobson", YEAR={1991}, TITLE="Convergence Results for Frequency Domain Gradient Estimators", NOTE={Manuscript}, INSTITUTION={Dept. Oper. Res., Case Western Reserve University}, ADDRESS={Cleveland} } @UNPUBLISHED {oJAC91b, AUTHOR="S. H. Jacobson", YEAR={1991}, TITLE="Variance and Bias Reduction Techniques for the Frequency Domain Gradient Estimators", NOTE={Manuscript}, INSTITUTION={Dept. Oper. Res., Case Western Reserve University}, ADDRESS={Cleveland} } @UNPUBLISHED {oJAC91c, AUTHOR="S. H. Jacobson and L. W. Schruben", YEAR={1991}, TITLE="A Simulation Optimization Procedure Using Harmonic Analysis", NOTE={Manuscript}, INSTITUTION={Dept. Oper. Res., Case Western Reserve University}, ADDRESS={Cleveland} } @ARTICLE {oKEN72a, AUTHOR="D. P. Kennedy", TITLE="The Continuity of the Single-Server Queue", JOURNAL={J. Appl. Probability}, VOLUME={9}, YEAR={1972}, PAGES={370--381} } @ARTICLE {oKES52a, AUTHOR="H. Kesten", TITLE="Accelerated Stochastic Approximation", JOURNAL={Annals of Mathematical Statistics}, VOLUME={23}, YEAR={1952}, PAGES={463--467} } @BOOK {oKLE75a, AUTHOR="L. Kleinrock", YEAR={1975}, TITLE={Queueing Systems, Theory}, VOLUME={1}, PUBLISHER={Wiley}, ADDRESS={New-York} } @INPROCEEDINGS {oKOC95a, AUTHOR="M. I. Koch and D. C. Chin and R. H. Smith", TITLE="A Network-Wide Approach to Optimal Signal Light Timing for Integrated Transit Vehicle and Traffic Operations", BOOKTITLE={1996 Annual Transportation Research Board Annual Meeting}, PUBLISHER={ \ }, YEAR={1995}, NOTE={to appear, session no. 146}, PAGES={ } } @ARTICLE {oKOM73a, AUTHOR="J. Koml\`{o}s and P. R\'{e}v\'{e}z", TITLE="A Modification of the {R}obbins--{M}onro Process", JOURNAL={Studia Sci. Math. Hungar}, VOLUME={8}, YEAR={1973}, PAGES={329--340} } @BOOK {oKON67a, AUTHOR="D. K{\"{o}}nig and K. Mathes and K. Nawrotzki", YEAR={1967}, TITLE={Verallgemeinerungen der Erlangschen und Engsetschen Formeln}, PUBLISHER={Akademie-Verlag}, ADDRESS={Berlin} } @BOOK {oKUS78a, AUTHOR="H. J. Kushner and D. S. Clark", TITLE={Stochastic Approximation Methods for Constrained and Unconstrained Systems}, PUBLISHER={Springer-Verlag}, SERIES={Applied Mathematical Sciences}, VOLUME={26}, YEAR={1978} } @ARTICLE {oKUS79a, AUTHOR="H. J. Kushner and H. Huang", TITLE="Rates of Convergence for Stochastic Approximation Type Algorighms", JOURNAL={SIAM Journal of Control and Optimization}, VOLUME={17}, YEAR={1979}, PAGES={607--617} } @BOOK {oKUS84a, AUTHOR="H. J. Kushner", TITLE={Approximation and Weak Convergence Methods for Random Processes}, PUBLISHER={The MIT Press}, ADDRESS={Cambridge, Mass.}, YEAR={1984} } @ARTICLE {oKUS84b, AUTHOR="H. J. Kushner and A. Shwartz", TITLE="An Invariant Measure Approach to the Convergence of Stochastic Approximations with State Dependent Noise", JOURNAL={SIAM Journal of Control and Optimization}, VOLUME={22}, NUMBER={1}, YEAR={1984}, PAGES={13--24} } @ARTICLE {oKUS93a, AUTHOR="H. J. Kushner and J. Yang", TITLE="Stochastic Approximation with Averaging of the Iterates: Optimal Asymptotic Rate of Convergence for General Processes", JOURNAL={SIAM Journal of Control and Optimization}, VOLUME={31}, NUMBER={4}, YEAR={1993}, PAGES={1045--1062} } @TECHREPORT {oKUS94a, AUTHOR="H. J. Kushner and F. J. V\'azquez-Abad", TITLE="Stochastic Approximation Methods for Systems of Interest Over an Infinite Horizon", INSTITUTION={Brown University}, ADDRESS={\ }, YEAR={1994} } @UNPUBLISHED {oLAB94a, AUTHOR="D. Labrecque and P. L'Ecuyer and R. Y. Rubinstein", TITLE="Combining the Score Function Method with the Conventional {M}onte {C}arlo and the Experimental Design Methods", NOTE={Submitted for publication}, YEAR={1994} } @ARTICLE {oLAI81a, AUTHOR="T. L. Lai and H. {R}obbins", TITLE="Consistency and Asymptotic Efficiency of Slope Estimates in Stochastic Approximation Schemes", JOURNAL={Zeitschrift f{\"u}r WahrscheinchKeitstheorie und Verwandte Gebiete}, VOLUME={56}, YEAR={1981}, PAGES={329--360} } @ARTICLE {oLAI95a, AUTHOR="T. L. Lai and S. Yakowitz", TITLE="Machine Learning and Nonparametric Bandit Theory", JOURNAL={IEEE Transactions on Automatic Control}, VOLUME={x}, YEAR={1995}, NOTE={to appear}, PAGES={xxx--xxx} } @BOOK {oLAW91a, AUTHOR="A. M. Law and W. D. Kelton", YEAR={1991}, TITLE={Simulation Modelling and Analysis}, EDITION={second}, PUBLISHER={McGraw-Hill} } @TECHREPORT {oLEC88a, AUTHOR="P. L'Ecuyer", TITLE="{SIMOD}: D{\'e}finition fonctionnelle et guide d'utilisation (version 2.0)", LANGUAGE={French}, NUMBER={DIUL-RT-8804}, INSTITUTION="D{\'e}partement d'informatique, Univ. Laval", YEAR={1988}, MONTH={Sept.} } @ARTICLE {oLEC88b, AUTHOR="P. L'Ecuyer and J. Malenfant", TITLE="Computing Optimal Checkpointing Strategies for Rollback and Recovery Systems", JOURNAL={IEEE Trans. on Computers}, VOLUME={37}, NUMBER={4}, PAGES={491--496}, YEAR={1988} } @ARTICLE {oLEC88c, AUTHOR="P. L'Ecuyer and A. Haurie", TITLE="Discrete Event Dynamic Programming with Simultaneous Events", JOURNAL={Mathematics of Operations Research}, VOLUME={13}, NUMBER={1}, PAGES={152--163}, YEAR={1988} } @ARTICLE {oLEC90a, AUTHOR="P. L'Ecuyer", TITLE="A Unified View of the {IPA}, {SF}, and {LR} Gradient Estimation Techniques", JOURNAL={Management Science}, VOLUME={36}, NUMBER={11}, YEAR={1990}, PAGES={1364--1383} } @INPROCEEDINGS {oLEC91a, AUTHOR="P. L'Ecuyer", TITLE="An Overview of Derivative Estimation", BOOKTITLE={Proceedings of the 1991 Winter Simulation Conference}, PUBLISHER={IEEE Press}, YEAR={1991}, MONTH={Dec}, PAGES={207--217} } @ARTICLE {oLEC92a, AUTHOR="P. L'Ecuyer", YEAR={1992}, TITLE="Convergence Rates for Steady-State Derivative Estimators", JOURNAL={Annals of Operations Research}, VOLUME={39}, PAGES={121--136} } @INPROCEEDINGS {oLEC92b, AUTHOR="P. L'Ecuyer and N. Giroux and P. W. Glynn", TITLE="Experimental Results for Gradient Estimation and Optimization of a {M}arkov Chain in Steady-State", EDITOR={G. Pflug and U. Dieter}, BOOKTITLE={Proceedings of the 1990 Vienna Conference on Computationally Intensive Methods in Simulation and Optimization}, VOLUME={374}, PUBLISHER={Springer-Verlag}, YEAR={1992}, PAGES={14--23}, NOTE={Lecture Notes in Economics and Mathematical Systems} } @INPROCEEDINGS {oLEC93a, AUTHOR="P. L'Ecuyer", TITLE="Two Approaches for Estimating the Gradient in a Functional Form", BOOKTITLE={Proceedings of the 1993 Winter Simulation Conference}, NOTE={To appear}, YEAR={1993} } @ARTICLE {oLEC94a, AUTHOR="P. L'Ecuyer and G. Perron", YEAR={1994}, TITLE="On the Convergence Rates of {IPA} and {FDC} Derivative Estimators", JOURNAL={Operations Research}, VOLUME={42}, NUMBER={4}, PAGES={643--656} } @ARTICLE {oLEC94b, AUTHOR="P. L'Ecuyer and P. W. Glynn", TITLE="Stochastic Optimization by Simulation: Convergence Proofs for the {$GI/G/1$} Queue in Steady-State", JOURNAL={Management Science}, YEAR={1994}, VOLUME={40}, NUMBER={11}, PAGES={1562--1578} } @ARTICLE {oLEC94c, AUTHOR="P. L'Ecuyer", TITLE="On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators", JOURNAL={Management Science}, NOTE={To appear}, YEAR={1994} } @ARTICLE {oLEC94d, AUTHOR="P. L'Ecuyer and N. Giroux and P. W. Glynn", TITLE="Stochastic Optimization by Simulation: Numerical Experiments with the {$M/M/1$} Queue in Steady-State", JOURNAL={Management Science}, YEAR={1994}, VOLUME={40}, NUMBER={10}, PAGES={1245--1261} } @UNPUBLISHED {oLEC94e, AUTHOR="P. L'Ecuyer and F. V\'{a}zquez-Abad", YEAR={1995}, TITLE="Functional Estimation with Respect to a Threshold Parameter via Dynamic Split-and-Merge", NOTE={Submitted} } @UNPUBLISHED {oLEC94f, AUTHOR="P. L'Ecuyer and P. W. Glynn", YEAR={1994}, TITLE="A Control Variate Scheme for Likelihood Ratio Gradient Estimation", NOTE={In preparation} } @UNPUBLISHED {oLEC94g, AUTHOR="P. L'Ecuyer and G. Yin", TITLE="Convergence Rate of Stochastic Optimization Algorithms with Budget-Dependent Bias", YEAR={1995}, NOTE={Submitted} } @UNPUBLISHED {oLEC95a, AUTHOR="P. L'Ecuyer and P. W. Glynn", TITLE="Uniform Convergence of Truncated--Horizon Estimators for Parametrized Regenerative Systems", NOTE={In preparation}, YEAR={1995} } @BOOK {oLJU92a, AUTHOR="L. Ljung and G. Pflug and H. Walk", TITLE="Stochastic Approximation and Optimization of Random Systems", PUBLISHER={Birkh\"auser}, YEAR={1992}, ADDRESS={Boston} } @BOOK {oLUE84a, AUTHOR="D. G. Luenberger", YEAR={1984}, TITLE={Linear and Nonlinear Programming}, PUBLISHER={Addison-Wesley}, EDITION={second} } @INPROCEEDINGS {oMAE94a, AUTHOR="Y. Maeda and Y. Kanata", YEAR={1994}, TITLE="Extended Adaptive {R}obbins-{M}onro Procedure Using Simultaneous Perturbation for a Least-Square Approximation Problem", BOOKTITLE={Proceedings of the Asian Control Conference}, PUBLISHER={ \ }, PAGES={383--386} } @ARTICLE {oMAE95a, AUTHOR="Y. Maeda and H. Hirano and Y. Kanata", TITLE="A Learning Rule of Neural Networks Via Simultaneous Perturbation and its Hardware Implementation", JOURNAL={Neural Networks}, VOLUME={8}, YEAR={1995}, PAGES={251--259} } @ARTICLE {oMAJ73a, AUTHOR="P. Major and P. Revesz", TITLE="A Limit Theorem for the {R}obbins {M}onro Approximation", JOURNAL={Zeitschrift f{\"u}r WahrscheinchKeitstheorie und Verwandte Gebiete}, VOLUME={27}, YEAR={1973}, PAGES={79--86} } @INPROCEEDINGS {oMEK87a, AUTHOR="M. S. Meketon", YEAR={1987}, TITLE="Optimization in Simulation: a Survey of Recent Results", BOOKTITLE={Proceedings of the 1987 Winter Simulation Conference}, PUBLISHER={IEEE Press}, PAGES={58--67} } @ARTICLE {oMET84a, AUTHOR="M. M{\'e}tivier and P. Priouret", YEAR={1984}, TITLE="Application of a {K}ushner and {C}lark Lemma to General Classes of Stochastic Algorithms", JOURNAL={IEEE Transactions on Information Theory}, VOLUME={IT-30}, NUMBER={2}, PAGES={140--151} } @ARTICLE {oMET87a, AUTHOR="M. M{\'e}tivier and P. Priouret", TITLE="Th{\'e}or{\`e}mes de convergence presque s{\^u}re pour une classe d'algorithmes stochastiques {\`a} pas d{\'e}croissant", LANGUAGE={French}, JOURNAL={Probability Theory and Related Fields}, VOLUME={74}, YEAR={1987}, PAGES={403--428} } @ARTICLE {oMYE89a, AUTHOR="R. H. Myers and A. I. Khuri and W. H. Carter", YEAR={1989}, TITLE="Response Surface Methodology: 1966--1988", JOURNAL={Technometrics}, VOLUME={31}, PAGES={137--157} } @BOOK {oMEY93a, AUTHOR="S. P. Meyn and R. L. Tweedie", TITLE={Markov Chains and Stochastic Stability}, PUBLISHER={Springer-Verlag}, ADDRESS={New-York}, YEAR={1993} } @BOOK {oNEV76a, AUTHOR="M. B. Nevelson and R. Z. Khasminskii", YEAR={1976}, TITLE={Stochastic Approximation and Recursive Estimation}, PUBLISHER={American Mathematical Society}, SERIES={Translation of Math. Monographs}, VOLUME={47} } @ARTICLE {oNUM78a, AUTHOR="E. Nummelin", TITLE="A Splitting Technique for Harris Recurrent Markov Chains", JOURNAL={Z. Wahrscheinlichkeitstheorie}, VOLUME={43}, YEAR={1978}, PAGES={309--318} } @BOOK {oNUM84a, AUTHOR="E. Nummelin", TITLE="General Irreducible Markov Chains and Non-Negative Operators", PUBLISHER={Cambridge University Press}, YEAR={1984}, ADRESS={New York} } @MASTERSTHESIS {oPER92a, AUTHOR="G. Perron", TITLE={Estimation de gradient et optimisation par simulation}, MONTH={Jan}, YEAR={1992}, LANGUAGE={French}, SCHOOL={D{\'e}partement d'informatique, Universit{\'e} Laval} } @ARTICLE {oPFL89a, AUTHOR="G. Ch. Pflug", YEAR={1989}, TITLE="Sampling Derivatives of Probabilities", JOURNAL={Computing}, VOLUME={42}, PAGES={315--328} } @ARTICLE {oPFL90a, AUTHOR="G. Ch. Pflug", YEAR={1990}, TITLE="On-line Optimization of Simulated {M}arkovian Processes", JOURNAL={Mathematics of Operations Research}, VOLUME={15}, NUMBER={3}, PAGES={381--395} } @UNPUBLISHED {oPFL91a, AUTHOR="G. Ch. Pflug", YEAR={1991}, TITLE="Simulation and Optimization: The Interface", NOTE={In preparation} } @ARTICLE {oPOL80a, AUTHOR="B. T. Polyak and Y. Z. Tsypkin", TITLE="Optimal Pseudogradient Adaptation Algorithms", JOURNAL={Avtomatika i Telemekhanika}, VOLUME={41}, NUMBER={8}, YEAR={1980}, PAGES={74--84}, NOTE={English translation in {\em Automatic and Remote Control\/}, {\bf 41} (1980), 1101--1110} } @ARTICLE {oPOL80b, AUTHOR="B. T. Polyak and Y. Z. Tsypkin", TITLE="Robust Pseudogradient Adaptation Algorithms", JOURNAL={Avtomatika i Telemekhanika}, VOLUME={10}, YEAR={1980}, PAGES={91--97}, NOTE={English translation in {\em Automatic and Remote Control\/}, 1981, 1404--1409} } @ARTICLE {oPOL90a, AUTHOR="B. T. Polyak", TITLE="New Method of Stochastic Approximation Type", JOURNAL={Avtomatika i telemekhanika}, VOLUME={7}, YEAR={1990}, PAGES={937--946}, NOTE={Translation in Automation and Remote Control (1991), 937--946} } @ARTICLE {oPOL92a, AUTHOR="B. T. Polyak and A. B. Juditsky", TITLE="Acceleration of Stochastic Approximation by Averaging", JOURNAL={SIAM Journal on Control and Optimization}, VOLUME={30}, YEAR={1992}, PAGES={838--855} } @ARTICLE {oREI89a, AUTHOR="M. I. Reiman and A. Weiss", TITLE="Sensitivity Analysis for Simulation Via Likelihood Ratios", JOURNAL={Operations Research}, VOLUME={37}, NUMBER={5}, YEAR={1989}, PAGES={830--844} } @ARTICLE {oREZ95a, AUTHOR="F. Rezayat", TITLE="On the Use of an SPSA-Based Model-Free Controller in Quality Improvement", JOURNAL={Automatica}, VOLUME={31}, YEAR={1995}, PAGES={913--915} } @ARTICLE {oRUB86b, AUTHOR="R. Y. Rubinstein", YEAR={1986}, TITLE="The Score Function Approach for Sensitivity Analysis of Computer Simulation Models", JOURNAL={Mathematics and Computers in Simulation}, VOLUME={28}, PAGES={351--379} } @ARTICLE {oRUB89a, AUTHOR="R. Y. Rubinstein", YEAR={1989}, TITLE="Sensitivity Analysis and Performance Extrapolation for Computer Simulation Models", JOURNAL={Operations Research}, VOLUME={37}, NUMBER={1}, PAGES={72--81} } @BOOK {oRUB90a, AUTHOR="R. Y. Rubinstein", YEAR={1990}, TITLE={{M}onte-{C}arlo Methods for Performance Evaluation, Sensitivity Analysis and Optimization of Stochastic Systems}, NOTE={To appear in The Encyclopedia of Computer Science and Technology}, PUBLISHER={Kent and Williams} } @ARTICLE {oRUB91a, AUTHOR="R. Y. Rubinstein", YEAR={1991}, TITLE="How to Optimize Discrete-Event Systems from a Single Sample Path by the Score Function Method", JOURNAL={Annals of Operations Research}, VOLUME={27}, PAGES={175--212} } @BOOK {oRUB93a, AUTHOR="R. Y. Rubinstein and A. Shapiro", TITLE={Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method}, PUBLISHER={Wiley}, ADDRESS={New York}, YEAR={1993} } @BOOK {oRUD74a, AUTHOR="W. Rudin", TITLE={Real and Complex Analysis}, EDITION={Second}, PUBLISHER={McGraw-Hill}, YEAR={1974} } @ARTICLE {oRUP82a, AUTHOR="R. Ruppert", YEAR={1982}, TITLE="Almost-Sure Approximation to the {R}obbins-{M}onro and {K}iefer-{W}olfowitz Processes with Dependent Noise", JOURNAL={Annals of Probability}, VOLUME={10}, PAGES={178--187} } @ARTICLE {oRUP85a, AUTHOR="R. Ruppert", YEAR={1985}, TITLE="A Newton-Raphson Version of the Multivariate {R}obbins-{M}onro Procedure", JOURNAL={Annals of Statistics}, VOLUME={13}, PAGES={236--245} } @TECHREPORT {oRUP88a, AUTHOR="R. Ruppert", TITLE="Efficient Estimators from a Slowly Converging {R}obbins-{M}onro Process", NUMBER={No. 781}, INSTITUTION={School of Operations Research and Industrial Engineering, Cornell University}, ADDRESS={Ithaca, New York}, YEAR={1988} } @INCOLLECTION {oRUP91a, AUTHOR="R. Ruppert", BOOKTITLE={Stochastic Approximation}, TITLE={Handbook in Sequential Analysis}, PUBLISHER={Marcel Dekker}, YEAR={1991}, PAGES={503--529}, ADDRESS={New York}, EDITOR={B. K. Ghosh and P. K. Sen} } @INPROCEEDINGS {oSAD95a, AUTHOR="P. Sadegh and J. C. Spall", TITLE="Optimal Random Perturbations for Multivariate Stochastic Approximation Using a Simultaneous Perturbation Gradient Approximation", BOOKTITLE={Proceedings of the 1996 IFAC World Congress}, PUBLISHER="{ \ }", YEAR={1995}, NOTE={Submitted}, PAGES={xxx--xxx} } @ARTICLE {oSAF90a, AUTHOR="M. H. Safizadeh", YEAR={1990}, TITLE="Optimization in Simulation: Current Issues and Future Outlook", JOURNAL={Naval Research Logistics}, VOLUME={37}, PAGES={807--825} } @TECHREPORT {oSCH92a, AUTHOR="R. Schwabe", TITLE="Stability Results for Smoothed Stochastic Approximation Procedures", NUMBER={Preprint Nr. A-92-14}, SERIES={A}, INSTITUTION={Fachbereich Mathematik, Freie Universitat Berlin}, YEAR={1992} } @ARTICLE {oSIG93a, AUTHOR="K. Sigman and R. W. Wolff", YEAR={1993}, TITLE="A Review of Regenerative Processes", JOURNAL={SIAM Review}, VOLUME={35}, NUMBER={2}, PAGES={269--288} } @ARTICLE {oSIM89a, AUTHOR="B. Simon", YEAR={1989}, TITLE="A New Estimator of Sensitivity Measures for Simulations Based on Light Traffic Theory", JOURNAL={ORSA Journal on Computing}, VOLUME={1}, NUMBER={3}, PAGES={172--180} } @INPROCEEDINGS {oSPA87a, AUTHOR="J. C. Spall", TITLE="A Stochastic Approximation Technique for Generating Maximum Likelihood Parameter Estimates", BOOKTITLE={Proceedings of the American Control Conference}, PUBLISHER={IEEE Transactions on Automatic Control}, YEAR={1987}, PAGES={1161--1167} } @ARTICLE {oSPA92a, AUTHOR="J. C. Spall", TITLE="Multivariate Stochastic Approximation Using a Simultaneous Perturbation Gradient Approximation", JOURNAL={IEEE Transactions on Automatic Control}, VOLUME={37}, YEAR={1992}, PAGES={332--341} } @INPROCEEDINGS {oSPA94a, AUTHOR="J. C. Spall", TITLE="Developments in Stochastic Optimization Algorithms with Gradient Approximations Based on Function Measurements", BOOKTITLE={Proceedings of the Winter Simulation Conference}, EDITOR={J. D. Tew and M. S. Manivannan and D. A. Sadowski and A. F. Seila}, YEAR={1994}, PAGES={207--214} } @INPROCEEDINGS {oSPA94b, AUTHOR="J. C. Spall", TITLE="A Second-Order Stochastic Approximation Algorithm Using Only Function Measurements", BOOKTITLE={Proceedings of the IEEE Conference on Decision and Control}, PUBLISHER={IEEE Transactions on Automatic Control}, YEAR={1994}, PAGES={2472--2477} } @ARTICLE {oSPA94d, AUTHOR="J. C. Spall and J. A. Cristion", TITLE="Nonlinear Adaptive Control Using Neural Networks: Estimation with a Smoothed Simultaneous Perturbation Gradient Approximation", JOURNAL={Statistica Sinica}, VOLUME={4}, YEAR={1994}, PAGES={1--27} } @INPROCEEDINGS {oSPA95a, AUTHOR="J. C. Spall", TITLE="Stochastic Version of Second-Order (Newton-Raphson) Optimization Using Only Function Measurements", BOOKTITLE={Proceedings of the Winter Simulation Conference}, EDITOR={C. Alexopoulos and K. Kang}, NOTE={In Press}, YEAR={1995}, PAGES={xxx} } @ARTICLE {oSPA95b, AUTHOR="J. C. Spall", TITLE="Implementation of the Simultaneous Perturbation Algorithm for Stochastic Optimization", JOURNAL={American Statistician}, YEAR={1995}, NOTE={Submitted}, PAGES={xxx} } @ARTICLE {oSUR87a, AUTHOR="R. Suri", YEAR={1987}, TITLE="Infinitesimal Perturbation Analysis for General Discrete Event Systems", JOURNAL={J. Assoc. Comput. Math.}, VOLUME={34}, NUMBER={3}, PAGES={686--717} } @ARTICLE {oSUR88a, AUTHOR="R. Suri and M. A. Zazanis", YEAR={1988}, TITLE="Perturbation Analysis Gives Strongly Consistent Estimates for the $M/G/1$ Queue", JOURNAL={Management Science}, VOLUME={34}, NUMBER={1}, PAGES={39--64} } @ARTICLE {oSUR89a, AUTHOR="R. Suri", YEAR={1989}, TITLE="Perturbation Analysis: The State of the Art and Research Issues Explained Via the $GI/G/1$ Queue", JOURNAL={Proceedings of the IEEE}, VOLUME={77}, PAGES={114--137} } @ARTICLE {oSUR89b, AUTHOR="R. Suri and Y. T. Leung", TITLE="Single Run Optimization of Discrete Event Simulations---An Empirical Study Using the $M/M/1$ Queue", JOURNAL={IIE Transactions}, VOLUME={21}, NUMBER={1}, YEAR={1989}, PAGES={35--49} } @ARTICLE {oTWE83a, AUTHOR="R. L. Tweedie", TITLE="The Existence of Moments for Stationary Markov Chains", JOURNAL={Journal of Applied Probobability}, VOLUME={20}, YEAR={1983}, PAGES={191--196} } @ARTICLE {oURY94a, AUTHOR="S. Uryasev", TITLE="Derivatives of Probability Functions and Integrals Over Sets Given by Inequalities", JOURNAL={Journal of Computational and Applied Mathematics}, NOTE={to appear}, VOLUMEx={56}, YEAR={1994}, PAGESx={?--?} } @ARTICLE {oURY94b, AUTHOR="S. Uryasev", TITLE="Derivatives of Probability Functions and Some Applications", JOURNAL={Annals of Operations Research}, NOTE={to appear}, VOLUMEx={?}, YEAR={1994}, PAGESx={?--?} } @INPROCEEDINGS {oURY94c, AUTHOR="S. Uryasev", TITLE="Analytic Perturbation Analysis of Discrete Event Dynamic Systems", BOOKTITLE={Proceedings of the Fourth International Conference on Computer Integrated Manufacturing and Automation Technology}, PUBLISHER={IEEE Computer Society Press}, MONTH={October}, YEAR={1994}, PAGES={397--401} } @ARTICLE {oURY95a, AUTHOR="S. Uryasev", TITLE="Analytic Perturbation Analysis for {DEDS} with Discontinuous Sample-Path Functions", JOURNAL={Stochastic Models}, NOTE={to appear}, VOLUMEx={?}, YEAR={1995}, PAGESx={?--?} } @UNPUBLISHED {oVAZ91a, AUTHOR="F. J. V{\'a}zquez-Abad and H. Kushner", YEAR={1991}, TITLE="A Surrogate Estimation Approach for Adaptive Routing in Communication Networks", NOTE={Manuscript} } @INPROCEEDINGS {oVAZ91b, AUTHOR="F. J. V{\'a}zquez-Abad and P. L'Ecuyer", YEAR={1991}, TITLE="Comparing Alternative Methods for Derivative Estimation when {IPA} does not Apply Directly", BOOKTITLE={Proceedings of the 1991 Winter Simulation Conference}, PUBLISHER={IEEE Press}, MONTH={Dec}, PAGES={1004--1011} } @ARTICLE {oVAZ92a, AUTHOR="F. J. V{\'a}zquez-Abad and H. Kushner", TITLE="Estimation of the Derivative of a Stationary Measure with Respect to a Control Parameter", JOURNAL={Journal of Applied Probability}, VOLUME={29}, YEAR={1992}, PAGES={343--352} } @INPROCEEDINGS {oVAZ94a, AUTHOR="F. J. V{\'a}zquez-Abad and P. L'Ecuyer", TITLE="Simulation Trees for Functional Estimation Via the Phantom Method", NOTE={Proceedings of the 11th International Conference on Analysis and Optimization of Systems}, BOOKTITLE={Lectures Notes in Control and Information Sciences}, VOLUME={199}, YEAR={1994}, MONTH={June}, PAGES={449--455} } @ARTICLE {oVEN67a, AUTHOR="J. H. 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