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

DOI10.1145/169702.169686zbMath0840.62086OpenAlexW2088386141MaRDI QIDQ4876064

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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

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

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

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