On the pathwise computation of derivatives with respect to the rate of a point process: The phantom RPA method

DOI10.1007/BF01159209zbMath0747.60046OpenAlexW1586561100MaRDI QIDQ1183687

Felisa J. Vázquez-Abad, Pierre Brémaud

Publication date: 28 June 1992

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01159209

zbMATH Keywords

sensitivity analysissimulation resultsperturbation analysislikelihood ratio methodrare perturbation analysis

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cites Work

• Perturbation analysis and optimization of queueing networks
• A Unified View of the IPA, SF, and LR Gradient Estimation Techniques
• Smoothed (conditional) perturbation analysis of discrete event dynamical systems
• Open Queueing Systems in Light Traffic
• A New Estimator of Sensitivity Measures for Simulations Based on Light Traffic Theory
• Sensitivity Analysis for Simulations via Likelihood Ratios