Analytic perturbation analysis for deds with discontinuous sample-path functions∗

DOI10.1080/15326349708807436MaRDI QIDQ4354601zbMATH OpenOpenAlexFDO

Authors Stanislav P. Uryasev

Publication date 17 September 1997

Published in Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349708807436

zbMATH Keywords

analytic perturbation analysisdiscontinuous sample-path functiondiscrete event dynamic systemestimate of gradientprobabilistic fracture mechanics

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cited in

(4)

• On the efficient generation of discrete event sample paths under different system parameter values
• Smoothed perturbation analysis for a class of piecewise constant sample performance functions
• Convergence of perturbation analysis estimates for discontinuous sample functions: a general approach
• Structural infinitesimal perturbation analysis (SIPA) for derivative estimation of discrete-event dynamic systems

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