Sensitivity Analysis from Sample Paths Using Likelihoods

DOI10.1287/MNSC.35.12.1475MaRDI QIDQ4734636zbMATH OpenOpenAlexFDO

Authors Philip Heidelberger, Don Towsley

Publication date 1989

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.35.12.1475

zbMATH Keywords

sensitivity analysiscentral limit theoremload balancingqueueing systemslikelihood estimatorPoisson rateM/M/1 queuestrong lawjackknifingsample patharrival rateon-line controlsimulation studiesexponential classregenerative systemsestimating a derivativerate of a Poisson process

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics (62P99) Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25)

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Cited in

(11)

• On the pathwise computation of derivatives with respect to the rate of a point process: The phantom RPA method
• Robustness of perturbation analysis estimators for queueing systems with unknown distributions
• Two approaches to optimal routing and admission control in systems with real-time traffic
• Pathwise estimation of probability sensitivities through terminating or steady-state simulations
• Likelihood ratio sensitivity analysis for class of queuing systems in transient analysis
• Improvements in the likelihood ratio method for steady-state sensitivity analysis and simulation
• Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications
• Estimating Derivatives Via Poisson's Equation
• Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation
• Sensitivity Analysis for Simulations via Likelihood Ratios
• A New Estimator of Sensitivity Measures for Simulations Based on Light Traffic Theory

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