Optimization and sensitivity analysis of computer simulation models by the score function method

DOI10.1016/0377-2217(95)00107-7zbMath0911.90166OpenAlexW2003467109MaRDI QIDQ1266612

Reuven Y. Rubinstein, Jack P. C. Kleijnen

Publication date: 5 May 1999

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://research.tilburguniversity.edu/en/publications/958c9b9a-544f-48f3-a3d1-c2cf8b0a8533

zbMATH Keywords

simulationsensitivity analysisperformance evaluationexperimental designscore function methodcomplex discrete-event systemsnon-Markovian queueing systems

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Queues and service in operations research (90B22)

Related Items (5)

Unnamed Item ⋮ The sensitivity analysis of binary networks via simulation ⋮ Two-stage nested simulation of tail risk measurement: a likelihood ratio approach ⋮ Monte Carlo Techniques for Parametric Finite Multidimensional Integral Equations ⋮ Rare event probabilities in stochastic networks

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• Estimating the Sojourn time sensitivity in queueing networks using perturbation analysis
• Generalized estimates for performance sensitivities of stochastic systems
• Sensitivity analysis of discrete event systems by the push out method
• Optimization via simulation: A review
• A Unified View of the IPA, SF, and LR Gradient Estimation Techniques
• Sensitivity Analysis for Simulations via Likelihood Ratios
• Smoothed Functionals in Stochastic Optimization

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