Response surface estimation and sensitivity analysis via efficient change of measure

DOI10.1080/15326349308807269zbMATH Open0777.60084OpenAlexW1985715541MaRDI QIDQ3137340FDOQ3137340

Reuven Y. Rubinstein, Søren Asmussen

Publication date: 15 December 1993

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349308807269

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zbMATH Keywords

simulation resultsqueueing modelmean waiting timemean sojourn timelikelihood ratio- score function methodreference traffic intensity

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Probabilistic models, generic numerical methods in probability and statistics (65C20) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25)

Cited In (5)

• Optimization of computer simulation models with rare events
• Response surface methodology as a sensitivity analysis tool in decision analysis
• Regenerative simulation of TES processes
• Decomposable score function estimators for sensitivity analysis and optimization of queueing networks
• Stochastic sensitivity analysis using preconditioning approach

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