Smoothed perturbation analysis derivative estimation for Markov chains

Operations Research Letters

Volumn 15, Issue 5, 1994, Pages 241-251

  Fu, Michael C ^a   Hu, Jian Qiang ^b  

^a UNIVERSITY OF MARYLAND   (United States)

^b BOSTON UNIVERSITY   (United States)

Author keywords

Derivative estimation; Perturbation analysis, Markov chains; Sensitivity analysis

Indexed keywords

COMPUTER SIMULATION; PARAMETER ESTIMATION; PERFORMANCE; PERTURBATION TECHNIQUES; QUEUEING THEORY; RANDOM PROCESSES; SENSITIVITY ANALYSIS;

DERIVATIVE ESTIMATION; INFINITESIMAL PERTURBATION ANALYSIS; MARKOV CHAINS; SMOOTHED PERTURBATION ANALYSIS; STEADY STATE PERFORMANCE;

OPERATIONS RESEARCH;

EID: 0028444151     PISSN: 01676377     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-6377(94)90084-1     Document Type: Article

References (11)

1. First-order perturbation analysis of a simple multi-class finite source queue
2. A sample performance function of closed Jackson queueing networks
3. Extensions and generalizations of smoothed perturbation analysis in a generalized semi-Markov process framework
4. Smoothed perturbation analysis for queues with finite buffers
5. Structural conditions for perturbation analysis derivative estimation: finite-time performance indices
6. Derivative Estimates from Simulation of Continuous-Time Markov Chains
7. Strongly Consistent Steady-State Derivative Estimates
8. Smoothed perturbation analysis of Markovian queueing networks
9. Smoothed (conditional) perturbation analysis of discrete event dynamical systems
10. Optimization and perturbation analysis of queueing networks
11. Continuity of generalized semi-Markov processes