The efficiency and heavy traffic properties of the score function method in sensitivity analysis of queueing models

DOI10.2307/1427735zbMath0745.65088OpenAlexW2319382212MaRDI QIDQ3991654

Reuven Y. Rubinstein, Soren Asmussen

Publication date: 28 June 1992

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427735

zbMATH Keywords

sensitivitystabilityMonte Carlo methodperformance evaluationheavy trafficqueueing networkssimulation estimatorscontrol variategradient estimationdiscrete-event dynamic systemslikelihood methodscore function methodregenerative simulationbivariate Brownian motion

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Queueing theory (aspects of probability theory) (60K25) Brownian motion (60J65) Functional limit theorems; invariance principles (60F17) Probabilistic methods, stochastic differential equations (65C99)

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