Response surface estimation and sensitivity analysis via efficient change of measure

DOI10.1080/15326349308807269MaRDI QIDQ3137340zbMATH OpenOpenAlexFDO

Authors Søren Asmussen, Reuven Y. Rubinstein

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

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)

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Cited in

(6)

• Optimization of computer simulation models with rare events
• A DFO technique to calibrate queueing models
• 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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