On the pathwise computation of derivatives with respect to the rate of a point process: The phantom RPA method

DOI10.1007/BF01159209zbMath0747.60046OpenAlexW1586561100MaRDI QIDQ1183687

Felisa J. Vázquez-Abad, Pierre Brémaud

Publication date: 28 June 1992

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01159209

zbMATH Keywords

sensitivity analysissimulation resultsperturbation analysislikelihood ratio methodrare perturbation analysis

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (14)

Uniformization based sensitivity estimation for a class of discrete-event systems ⋮ Maximal coupling rare perturbation analysis with a random horizon ⋮ Scheduling policies using marked/phantom slot algorithms ⋮ Perturbation analysis of waiting times in the G/G/1 queue ⋮ Uniformization and performance sensitivity estimation in closed queueing networks ⋮ Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications ⋮ A perturbation analysis approach to phantom estimators for waiting times in the \(G/G/1\) queue ⋮ Maximal coupling and rare perturbation sensitivity analysis ⋮ Perturbation analysis of inhomogeneous finite Markov chains ⋮ Optimization via simulation: A review ⋮ Perturbation analysis and Malliavin calculus ⋮ On derivative estimation of single-server queues via structural infinitesimal perturbation analysis ⋮ RPA pathwise derivative estimation of ruin probabilities ⋮ Stationary IPA estimates for nonsmooth \(G/G/1/\infty\) functionals via Palm inversion and level-crossing analysis

Cites Work

• Perturbation analysis and optimization of queueing networks
• A Unified View of the IPA, SF, and LR Gradient Estimation Techniques
• Smoothed (conditional) perturbation analysis of discrete event dynamical systems
• Open Queueing Systems in Light Traffic
• A New Estimator of Sensitivity Measures for Simulations Based on Light Traffic Theory
• Sensitivity Analysis for Simulations via Likelihood Ratios

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