Second Derivative Sample Path Estimators for the GI/G/m Queue

DOI10.1287/MNSC.39.3.359MaRDI QIDQ5285756zbMATH OpenOpenAlexFDO

Authors Michael C. Fu, Jian-Qiang Hu

Publication date 29 June 1993

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.39.3.359

zbMATH Keywords

first-come, first-servedGI/G/m queuesample path estimatorssmoothed perturbation analysis

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Probabilistic models, generic numerical methods in probability and statistics (65C20) Queues and service in operations research (90B22)

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(10)

• Infinitesimal perturbation analysis for second derivative estimation and design of manufacturing flow controllers
• Optimization via simulation: A review
• Second derivative estimation using harmonic analysis
• Comparison of gradient estimation techniques for queues with non- identical servers
• On the variance of single-run unbiased stochastic derivative estimators
• Monte Carlo gradient estimation in machine learning
• A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
• First and second derivative estimators for closed Jackson-like queueing networks using perturbation analysis techniques
• Generalized likelihood ratio method for stochastic models with uniform random numbers as inputs
• On the consistency of second derivative perturbation analysis estimators for the M/G/1 queue

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