Sensitivity estimates based on one realization of a stochastic system†
From MaRDI portal
Publication:3762199
DOI10.1080/00949658708810992zbMath0623.93067OpenAlexW1980041432MaRDI QIDQ3762199
Publication date: 1987
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949658708810992
Monte Carlo methods (65C05) Sensitivity (robustness) (93B35) Queueing theory (aspects of probability theory) (60K25) Estimation and detection in stochastic control theory (93E10) Perturbation theory of linear operators (47A55) Stochastic systems in control theory (general) (93E03)
Related Items (12)
Generalized estimates for performance sensitivities of stochastic systems ⋮ The convergence property of sample derivatives in closed Jackson queueing networks ⋮ Sensitivity analysis and the ``what if problem in simulation analysis ⋮ Optimal selection of buffers in a tandem finite capacity G/M/1 queueing system ⋮ Full-state perturbation analysis of discrete event dynamic systems ⋮ Augmented infinitesimal perturbation analysis: An alternate explanation ⋮ Convergence rates for steady-state derivative estimators ⋮ Conditioning for variance reduction in estimating the sensitivity of simulations ⋮ How to optimize discrete-event systems from a single sample path by the score function method ⋮ Modified importance sampling for performance evaluation and sensitivity analysis of computer simulation models ⋮ Convergence of stochastic approximation coupled with perturbation analysis in a class of manufacturing flow control models ⋮ Optimization algorithm with probabilistic estimation
Cites Work
This page was built for publication: Sensitivity estimates based on one realization of a stochastic system†
