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  • Search: subject:"Finite Difference Stochastic Approximation (FDSA)"
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Common Random Numbers 1 Finite Difference Stochastic Approximation (FDSA) 1 Simultaneous Perturbation Stochastic Approximation (SPSA) 1 discrete event dynamic systems 1
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Kleinman, Nathan L. 1 Naiman, Daniel Q. 1 Spall, James C. 1
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Management Science 1
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Simulation-Based Optimization with Stochastic Approximation Using Common Random Numbers
Kleinman, Nathan L.; Spall, James C.; Naiman, Daniel Q. - In: Management Science 45 (1999) 11, pp. 1570-1578
The method of Common Random Numbers is a technique used to reduce the variance of difference estimates in simulation optimization problems. These differences are commonly used to estimate gradients of objective functions as part of the process of determining optimal values for parameters of a...
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