Error analysis for regenerative queueing estimators with special reference to gradient estimators via likelihood ratio (Q1197804)

Excerpt from introduction: The main contribution of this paper is in obtaining analytical formulas for the variance of the regenerative estimators for the \(M/G/1\) queue, including those for the mean and (arbitrarily) higher order moments of the FCFS waiting time, and also those for the likelihood ratio estimator of the gradient of the moments of the FCFS waiting time with respect to either the service rate or the arrival rate. At arbitrary traffic intensity the formulas are recursive, while the heavy traffic approximations are explicit and of very simple form. While the formulas of this paper are strictly true only for the \(M/G/1\) queue, they can also be used as guide-lines for the design of simulations and of stochastic optimizations of more complex queueing models, particularly those with Poisson arrivals.