The limiting value of derivative estimators based on perturbation analysis

DOI10.1080/15326349908807146zbMath0744.60102OpenAlexW1977777910MaRDI QIDQ4712738

Paul Glasserman

Publication date: 25 June 1992

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349908807146

zbMATH Keywords

perturbation techniqueperformance sensitivityclosed Jackson networksstochastic simulation procedure

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Markov processes (60J99) Probabilistic methods, stochastic differential equations (65C99)

Related Items (7)

Uniformization based sensitivity estimation for a class of discrete-event systems ⋮ Infinitesimal perturbation analysis of a queueing system with bursty traffic ⋮ Perturbation analysis of the \(GI/GI/1\) queue ⋮ Maximal coupling rare perturbation analysis with a random horizon ⋮ A new method of performance sensitivity analysis for non-Markovian queueing networks ⋮ New performance sensitivity formulae for a class of product-form queueing networks ⋮ Maximal coupling and rare perturbation sensitivity analysis

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