Structural Conditions for Perturbation Analysis Derivative Estimation: Finite-Time Performance Indices

DOI10.1287/OPRE.39.5.724MaRDI QIDQ3988903zbMATH OpenOpenAlexFDO

Authors Paul Glasserman

Publication date 28 June 1992

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/706c05f89294ea788031ab631cf14986eac24e98

zbMATH Keywords

generalized semi-Markov processesinfinitesimal perturbation analysisoptimizing performance

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15)

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Cited in

(23)

• Algebraic structure of some stochastic discrete event systems, with applications
• Strong consistency of infinitesimal perturbation analysis for tandem queueing networks
• A new method of performance sensitivity analysis for non-Markovian queueing networks
• Variance properties of sample path derivatives of parametric random variables
• Properties of serial kanban systems
• Smoothed perturbation analysis algorithms for estimating the derivatives of occupancy-related functions in serial queueing networks
• Optimal mean squared error analysis of the harmonic gradient estimators
• Smoothed perturbation analysis derivative estimation for Markov chains
• Perturbation analysis of the \(GI/GI/1\) queue
• Optimization via simulation: A review
• Second derivative estimation using harmonic analysis
• Stochastic gradient-based time-cost tradeoffs in PERT networks using simulation
• On derivative estimation of single-server queues via structural infinitesimal perturbation analysis
• Structured buffer-allocation problems
• An exact method for the sensitivity analysis of systems simulated by rejection techniques
• Structural conditions for perturbation analysis of queueing systems
• Sensitivity analysis of a manufacturing workstation using perturbation analysis techniques
• The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital
• A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
• Estimation of Derivatives of Nonsmooth Performance Measures in Regenerative Systems
• Smoothed perturbation analysis for queues with finite buffers
• Infinitesimal perturbation analysis (IPA) derivative estimation with unknown parameters
• Sensitivity analysis via simulation in the presence of discontinuities

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