Variance properties of sample path derivatives of parametric random variables

DOI10.1016/0167-6377(92)90062-8MaRDI QIDQ1198625zbMATH OpenOpenAlexFDO

Authors S. Singh

Publication date 16 January 1993

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6377(92)90062-8

zbMATH Keywords

analysis of varianceparametric probability distributionssample path derivatives

Mathematics Subject Classification ID

Sample path properties (60G17)

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Cites work

• scientific article; zbMATH DE number 3163006 (Why is no real title available?)
• scientific article; zbMATH DE number 3256930 (Why is no real title available?)
• Performance evaluation and perturbation analysis of discrete event dynamic systems
• Perturbation analysis and optimization of queueing networks
• Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue
• Structural Conditions for Perturbation Analysis Derivative Estimation: Finite-Time Performance Indices

Cited in

(3)

• Infinitesimal perturbation analysis of a queueing system with bursty traffic
• On the variance of single-run unbiased stochastic derivative estimators
• On comparison of steady-state infinitesimal perturbation analysis and likelihood ratio derivative estimates

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