Convergence Properties of Infinitesimal Perturbation Analysis Estimates

DOI10.1287/mnsc.34.11.1281zbMath0685.65130MaRDI QIDQ4203793

Xi-Ren Cao, Michael A. Zazanis, Rajan Suri, Philip Heidelberger

Publication date: 1988

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.34.11.1281

zbMATH Keywords

moments; convergence; queues; infinitesimal perturbation analysis; stochastic simulation; Jackson network; strongly consistent estimates; discrete event simulation; birth and death process simulation; multiple steady state throughputs; sample path derivative

Mathematics Subject Classification ID

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

60K25: Queueing theory (aspects of probability theory)

60J80: Branching processes (Galton-Watson, birth-and-death, etc.)

65C99: Probabilistic methods, stochastic differential equations

Related Items

Sensitivity analysis of a manufacturing workstation using perturbation analysis techniques, Approximate Optimal Order Batch Sizes in a Parallel aisle Warehouse, Consistency of infinitesimal perturbation analysis for the GI/G/m queue, Sample path and performance homogeneity of discrete event dynamic systems, Strong consistency of sample path derivative estimates, IPA derivatives for make-to-stock production-inventory systems with backorders under the (\(\mathbf{R,r}\)) policy, Simulation methods of queues: An overview, Sensitivity analysis and the ``what if problem in simulation analysis, A new method of performance sensitivity analysis for non-Markovian queueing networks, Full-state perturbation analysis of discrete event dynamic systems, Augmented infinitesimal perturbation analysis: An alternate explanation, Stationary waiting time derivatives, Stochastic quasigradient methods for optimization of discrete event systems, Convergence rates for steady-state derivative estimators, Conditioning for variance reduction in estimating the sensitivity of simulations, Sample path properties of the G/D/\(m\) queue, A formal description of discrete event dynamic systems including infinitesimal perturbation analysis, Perturbation analysis of discrete event systems: Concepts, algorithms, and applications, Sensitivity calculation of the throughput of an FMS with rspect to the routing mix using perturbation analysis, Optimal mean squared error analysis of the harmonic gradient estimators, Perturbation analysis of the \(GI/GI/1\) queue, Sensitivity analysis and optimization of stochastic Petri nets, Derivative estimation via stochastic intensities: Event averages in queueing systems, Variance and bias reduction techniques for the harmonic gradient estimator, IPA derivatives for a discrete model of make-to-stock production-inventory systems with backorders, IPA derivatives for Make-to-Stock production-inventory systems with backorders, Replication Schemes For Limiting Expectations