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

DOI10.2307/1427735zbMath0745.65088MaRDI 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

sensitivity; stability; Monte Carlo method; performance evaluation; heavy traffic; queueing networks; simulation estimators; control variate; gradient estimation; discrete-event dynamic systems; likelihood method; score function method; regenerative simulation; bivariate Brownian motion

Mathematics Subject Classification ID

65C20: Probabilistic models, generic numerical methods in probability and statistics

60K25: Queueing theory (aspects of probability theory)

60J65: Brownian motion

60F17: Functional limit theorems; invariance principles

65C99: Probabilistic methods, stochastic differential equations

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