Perturbation analysis and optimization of queueing networks

From MaRDI portal
Revision as of 05:00, 31 January 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:1170109

DOI10.1007/BF00933971zbMath0496.90034OpenAlexW1988288472MaRDI QIDQ1170109

Yu-Chi Ho, Xi-Ren Cao

Publication date: 1983

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00933971




Related Items (63)

Estimating the Sojourn time sensitivity in queueing networks using perturbation analysisInfinitesimal perturbation analysis for second derivative estimation and design of manufacturing flow controllersConvergence of perturbation analysis based optimization algorithm with fixed number of customers periodThe score function approach for sensitivity analysis of computer simulation modelsGenetic learning of dynamic scheduling within a simulation environmentSmoothed perturbation analysis derivative estimation for Markov chainsPerturbation analysis of the \(GI/GI/1\) queueQuasi-Monte Carlo simulation for American option sensitivitiesInfinitesimal perturbation analysis of birth and death processParallel sample path generation for discrete event systems and the traffic smoothing problemImportance Sampling for Option Greeks with Discontinuous PayoffsOn queueing network models of flexible manufacturing systemsGeneralized estimates for performance sensitivities of stochastic systemsRealization probability in multi-class closed queueing networksUnnamed ItemGeneralized sensitivity analysis of ergodic stochastic systemsSystem representations and performance sensitivity estimates of discrete event systemsAmerican Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis ApproachSampling derivatives of probabilitiesThe convergence property of sample derivatives in closed Jackson queueing networksSensitivity analysis and the ``what if problem in simulation analysisUniformization and performance sensitivity estimation in closed queueing networksEstimating Sensitivities of Portfolio Credit Risk Using Monte CarloSensitivity estimates based on one realization of a stochastic system†A Review of Modern Computational Algorithms for Bayesian Optimal DesignGradient and Hessian of joint probability function with applications on chance-constrained programsCopula sensitivity analysis for portfolio credit derivativesMonte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applicationsSENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITYPerformance optimization of queueing systems with perturbation realizationSample path and performance homogeneity of discrete event dynamic systemsOn the consistency of second derivative perturbation analysis estimators for the M/G/1 queueStochastic design optimization of asynchronous flexible assembly systemsControl: a perspectiveImplementation of sensitivity calculations on a Monte Carlo experimentOn the pathwise computation of derivatives with respect to the rate of a point process: The phantom RPA methodParameterized Markov decision process and its application to service rate controlFull-state perturbation analysis of discrete event dynamic systemsError analysis for regenerative queueing estimators with special reference to gradient estimators via likelihood ratioA linear algebraic formulation of the performance sensitivities of queueing networksVariance properties of sample path derivatives of parametric random variablesBias properties of infinitesimal perturbation analysis for systems with parallel serversOptimizing discrete event dynamic systems via the gradient surface methodConditioning for variance reduction in estimating the sensitivity of simulationsGradient estimates for the performance of Markov chains and discrete event processesBasic ideas for event-based optimization of Markov systemsOptimization via simulation: A reviewQuasi-Monte Carlo-based conditional pathwise method for option GreeksHow to optimize discrete-event systems from a single sample path by the score function methodAn operational approach to perturbation analysis of closed queuing networksPerturbation analysis of discrete event systems: Concepts, algorithms, and applicationsObtaining sample path derivatives by source code instrumentationPerturbation analysis and Malliavin calculusSensitivity of sample values to parameter changesEfficient Importance Sampling in Quasi-Monte Carlo Methods for Computational FinanceStochastic dynamics simulation with generalized interval probabilityOn the perturbation analysis of discrete-event dynamic systemsStationary IPA estimates for nonsmooth \(G/G/1/\infty\) functionals via Palm inversion and level-crossing analysisConsistency of infinitesimal perturbation analysis for the GI/G/m queueEfficient Bayesian Experimentation Using an Expected Information Gain Lower BoundSensitivity of sample values not generated by inversionMonte Carlo Methods for Value-at-Risk and Conditional Value-at-RiskOptimization algorithm with probabilistic estimation




Cites Work




This page was built for publication: Perturbation analysis and optimization of queueing networks