Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue

DOI10.1287/MNSC.34.1.39MaRDI QIDQ3776355zbMATH OpenOpenAlexFDO

Authors Rajan Suri, Michael A. Zazanis

Publication date 1988

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.34.1.39

zbMATH Keywords

perturbation analysisstrongly consistent estimatesparameter sensitivitiesapplications to optimization problemssensitivity of mean system time

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)

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(78)

• Robustness of perturbation analysis estimators for queueing systems with unknown distributions
• Strong consistency of infinitesimal perturbation analysis for tandem queueing networks
• Perturbation analysis of the \(GI/GI/1\) queue
• Consistency of perturbation analysis for a queue with finite buffer space and loss policy
• Conditioning for variance reduction in estimating the sensitivity of simulations
• Stationary waiting time derivatives
• Maximal coupling and rare perturbation sensitivity analysis
• On the consistency of second derivative perturbation analysis estimators for the M/G/1 queue
• Strong consistency of sample path derivative estimates
• Sample path properties of the G/D/\(m\) queue
• scientific article; zbMATH DE number 2151848 (Why is no real title available?)
• APPLICATION OF SMOOTHED PERTURBATION ANALYSIS TO A DISCRETE-TIME STATIONARY QUEUE
• Sensitivity estimates for portfolio credit derivatives using Monte Carlo
• State-dependent control of a single stage hybrid system with Poisson arrivals
• How to optimize discrete-event systems from a single sample path by the score function method
• Convergence of a stochastic approximation algorithm for the GI/G/1 queue using infinitesimal perturbation analysis
• Interchangeability of expectation and differentiation of waiting times in \(GI/G/1\) queues
• Structural conditions for perturbation analysis of queueing systems
• Error analysis for regenerative queueing estimators with special reference to gradient estimators via likelihood ratio
• Variance properties of sample path derivatives of parametric random variables
• Bias properties of infinitesimal perturbation analysis for systems with parallel servers
• What you should know about simulation and derivatives
• Convergence of perturbation analysis based optimization algorithm with fixed number of customers period
• Optimizing uniform non-Markov queueing networks
• Estimating the Sojourn time sensitivity in queueing networks using perturbation analysis
• Stationary IPA estimates for nonsmooth \(G/G/1/\infty\) functionals via Palm inversion and level-crossing analysis
• An infinitesimal perturbation analysis algorithm for a multiclass G/G/1 queue
• Steady-state sample path derivative estimators
• Sensitivity analysis for stationary and ergodic queues
• Optimization via simulation: A review
• Sensitivity analysis and optimization of throughput in a production line with blocking
• Full-state perturbation analysis of discrete event dynamic systems
• Perturbation analysis of waiting times in the G/G/1 queue
• Smoothed perturbation analysis for queues with finite buffers
• Sensitivity analysis of ranked data: from order statistics to quantiles
• Consistency of infinitesimal perturbation analysis for the GI/G/m queue
• Simulation methods of queues: An overview
• Perturbation analysis and Malliavin calculus
• Semi-Analytical Methods for Complex Optimization of Non-Markov Queueing Networks
• A DFO technique to calibrate queueing models
• Consistency of infinitesimal perturbation analysis estimators with rates
• A two Timescale Stochastic Approximation Scheme for Simulation-Based Parametric Optimization
• Perturbation analysis of a variable M/M/1 queue: a probabilistic approach
• Generalized sensitivity analysis of ergodic stochastic systems
• Analysis of \(2^4\) factorial design for a controllable M/G/1 system
• Sample-path optimization of convex stochastic performance functions
• A New Estimator of Sensitivity Measures for Simulations Based on Light Traffic Theory
• Response surface estimation and sensitivity analysis via efficient change of measure
• Convergence rates for steady-state derivative estimators
• Sensitivity Analysis from Sample Paths Using Likelihoods
• First-order perturbation analysis of a simple multi-class finite source queue
• Perturbation analysis of discrete event systems: Concepts, algorithms, and applications
• Genetic learning of dynamic scheduling within a simulation environment
• Resource allocation for a stochastic CPM-type network through perturbation analysis
• The efficiency and heavy traffic properties of the score function method in sensitivity analysis of queueing models
• Optimization of uniform non-Markov queueing networks using resources and transition probabilities redistribution
• Maximum likelihood estimation by Monte Carlo simulation: toward data-driven stochastic modeling
• Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis
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• Computing Sensitivities for Distortion Risk Measures
• Sensitivity analysis of queueing models based on polynomial chaos approach
• Uniformization and performance sensitivity estimation in closed queueing networks
• Monte Carlo gradient estimation in machine learning
• Sensitivity examination of the simulation result of discrete event dynamic systems with perturbation analysis
• Regression models augmented with direct stochastic gradient estimators
• Likelihood ratio sensitivity analysis for class of queuing systems in transient analysis
• Stochastic dynamics simulation with generalized interval probability
• On derivative estimation of single-server queues via structural infinitesimal perturbation analysis
• American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
• Sensitivity analysis of serial transfer lines using finite perturbation analysis
• Sensitivity bounds on a GI/M/n/n queueing system
• Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications
• System error analysis based on one-at-a-time perturbations
• A measure-valued differentiation approach to sensitivities of quantiles
• Comparison of gradient estimation techniques for queues with non- identical servers
• Sensitivity analysis of regenerative queuing models
• scientific article; zbMATH DE number 744081 (Why is no real title available?)
• Sensitivity analysis of performance for M/G/1 queueing systems

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