A New Estimator of Sensitivity Measures for Simulations Based on Light Traffic Theory

DOI10.1287/IJOC.1.3.172MaRDI QIDQ4018157zbMATH OpenOpenAlexFDO

Authors Burton Simon

Publication date 16 January 1993

Published in ORSA Journal on Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/ijoc.1.3.172

zbMATH Keywords

convergence propertieslight traffic perturbation methodlight traffic theoryopen queueing systemsensitivity analysessimulations

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Non-Markovian processes: estimation (62M09) Queues and service in operations research (90B22)

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Cited in

(9)

• On the pathwise computation of derivatives with respect to the rate of a point process: The phantom RPA method
• Maximal coupling and rare perturbation sensitivity analysis
• Uniformization based sensitivity estimation for a class of discrete-event systems
• Robinson's theorem on asymmetric diophantine approximation
• Response surface estimation and sensitivity analysis via efficient change of measure
• Light traffic derivatives via likelihood ratios
• Sensitivity Analysis from Sample Paths Using Likelihoods
• Virtual customers in sensitivity and light traffic analysis via Campbell's formula for point processes
• Learning to cooperate with Pavlov and adaptive strategy for the iterated prisoner's dilemma with noise

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