Derivatives of likelihood ratios and smoothed perturbation analysis for the routing problem

DOI10.1145/169702.169686MaRDI QIDQ4876064zbMATH OpenOpenAlexFDO

Authors

Publication date 4 July 1996

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://hal.inria.fr/inria-00075067/file/RR-1495.pdf, http://www.acm.org/pubs/contents/journals/tomacs/

zbMATH Keywords

sensitivitydiscrete-event simulationgradient estimationlikelihood ratio methodarrival processunbiased estimates of derivativescycle variablesG/G/1 queuing systemsnetwork-routing problemPalm distribution frameworkrare-perturbation analysissmoothed-perturbation analysisstationary and ergodic estimates

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Probabilistic methods, stochastic differential equations (65C99) Non-Markovian processes: estimation (62M09) Queueing theory (aspects of probability theory) (60K25)

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Cited in

(5)

• On the pathwise computation of derivatives with respect to the rate of a point process: The phantom RPA method
• Maximal coupling rare perturbation analysis with a random horizon
• Sensitivity analysis of stationary performance measures for Markov chains
• Uniformization based sensitivity estimation for a class of discrete-event systems
• Augmented infinitesimal perturbation analysis: An alternate explanation

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