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Stochastic Optimization by Simulation: Numerical Experiments with the M/M/1 Queue in Steady-State

L'Ecuyer, Pierre; Giroux, Nataly; Glynn, Peter W. - In: Management Science 40 (1994) 10, pp. 1245-1261

This paper gives numerical illustrations of the behavior of stochastic approximation, combined with different …

Persistent link: https://www.econbiz.de/10009214157

A new sequential design based on the robbins-monro procedure

Moser, B.; Fei, W. - In: Metrika 38 (1991) 1, pp. 321-333

Persistent link: https://www.econbiz.de/10005376046

Passive stochastic approximation

Tsybakov, A.B. - University of Bonn, Germany - 1988

Persistent link: https://www.econbiz.de/10005001447

Stepwise BAN estimators for exponential families with multivariate normal applications

Sampson, Allan R. - In: Journal of Multivariate Analysis 6 (1976) 1, pp. 167-175

uniparametric and multiparametric exponential families. The estimators are derived by using the Robbins-Monro stochastic … approximation procedure with certain families of random variables arising from the normalized log-likelihood. Considered in detail …

Persistent link: https://www.econbiz.de/10005152826