On Optimization of Discontinuous Systems

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/3537 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/3537 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/3537 archive 351 disk0/00/00/35/16 2016-01-15 02:01:07 2021-08-27 17:14:00 2016-01-15 02:01:07 monograph show 2 Ermoliev Y.M. 1445 Gaivoronski A.A. 1003 On Optimization of Discontinuous Systems pub iis_met iis_sys prog_set In this paper stochastic programming techniques are adapted and further developed for applications to discrete event systems. We consider cases when the sample path of the system depend discontinuously on control parameters (e.g. modeling of failures, several competing processes), which could make the computation of estimates of the gradient difficult. Methods which use only samples of the performance criterion are developed, in particular finite differences with reduced variance and concurrent approximation and optimization algorithms. Optimization of the stationary behavior is also considered. Results of numerical experiments and convergence results are reported. 1991-12 published WP-91-049 WP-91-049 10 338 1273 public working_paper IIASA, Laxenburg, Austria 51 FALSE info:eu-repo/semantics/book