Perturbation analysis and optimization of queueing networks

Deterministic network models in operations research (90B10) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25)

Cites Work

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Implementation of sensitivity calculations on a Monte Carlo experiment
A generating function approach to queueing network analysis of multiprogrammed computers

Cited In (63)

Obtaining sample path derivatives by source code instrumentation
Monte Carlo gradient estimation in machine learning
Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications
Parallel sample path generation for discrete event systems and the traffic smoothing problem
Quasi-Monte Carlo simulation for American option sensitivities
Copula sensitivity analysis for portfolio credit derivatives
Uniformization and performance sensitivity estimation in closed queueing networks
Stochastic dynamics simulation with generalized interval probability
On the pathwise computation of derivatives with respect to the rate of a point process: The phantom RPA method
Performance optimization of queueing systems with perturbation realization
Conditioning for variance reduction in estimating the sensitivity of simulations
Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
Generalized estimates for performance sensitivities of stochastic systems
Realization probability in multi-class closed queueing networks
Generalized sensitivity analysis of ergodic stochastic systems
Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
Gradient and Hessian of joint probability function with applications on chance-constrained programs
Perturbation analysis of discrete event systems: Concepts, algorithms, and applications
Convergence of perturbation analysis based optimization algorithm with fixed number of customers period
System representations and performance sensitivity estimates of discrete event systems
Sampling derivatives of probabilities
The convergence property of sample derivatives in closed Jackson queueing networks
On queueing network models of flexible manufacturing systems
A Review of Modern Computational Algorithms for Bayesian Optimal Design
Sensitivity of sample values to parameter changes
Importance sampling for option Greeks with discontinuous payoffs
Basic ideas for event-based optimization of Markov systems
Perturbation analysis and Malliavin calculus
Implementation of sensitivity calculations on a Monte Carlo experiment
Optimization via simulation: A review
Control: a perspective
Estimating the Sojourn time sensitivity in queueing networks using perturbation analysis
American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
Stationary IPA estimates for nonsmooth \(G/G/1/\infty\) functionals via Palm inversion and level-crossing analysis
Optimization algorithm with probabilistic estimation
Smoothed perturbation analysis derivative estimation for Markov chains
How to optimize discrete-event systems from a single sample path by the score function method
The score function approach for sensitivity analysis of computer simulation models
Sensitivity analysis and the ``what if problem in simulation analysis
Infinitesimal perturbation analysis for second derivative estimation and design of manufacturing flow controllers
Sensitivity analysis of nonlinear behavior with distorted probability
Optimizing discrete event dynamic systems via the gradient surface method
Sample path and performance homogeneity of discrete event dynamic systems
Genetic learning of dynamic scheduling within a simulation environment
Infinitesimal perturbation analysis of birth and death process
Parameterized Markov decision process and its application to service rate control
Perturbation analysis of the \(GI/GI/1\) queue
On the consistency of second derivative perturbation analysis estimators for the M/G/1 queue
Stochastic design optimization of asynchronous flexible assembly systems
Error analysis for regenerative queueing estimators with special reference to gradient estimators via likelihood ratio
A linear algebraic formulation of the performance sensitivities of queueing networks
Variance properties of sample path derivatives of parametric random variables
Bias properties of infinitesimal perturbation analysis for systems with parallel servers
Efficient Bayesian experimentation using an expected information gain lower bound
Sensitivity estimates based on one realization of a stochastic system†
On the perturbation analysis of discrete-event dynamic systems
Gradient estimates for the performance of Markov chains and discrete event processes
Quasi-Monte Carlo-based conditional pathwise method for option Greeks
An operational approach to perturbation analysis of closed queuing networks
Consistency of infinitesimal perturbation analysis for the GI/G/m queue
Sensitivity of sample values not generated by inversion
Full-state perturbation analysis of discrete event dynamic systems
Estimating sensitivities of portfolio credit risk using Monte Carlo

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