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| Author: | Heidelberger, P. Towsley, D. |
| Title: | Sensitivity analysis from sample paths using likelihoods. |
| Journal: | Management Science
1989 : DEC, VOL. 35:12, p. 1475-1488 |
| Index terms: | QUEUING THEORY SENSITIVITY ANALYSIS SIMULATION |
| Language: | eng |
| Abstract: | Presented is the modification of the likelihood-based method for obtaining derivates with respect to the rate of a Poisson process so that it is not necessary to know the exact value of that rate. This type of modification is necessary if the method is to be used on a sample path from a real system. The method is also applicable to simulation studies of certain real time control policies and may be useful in trace driven simulations. The modification to the likelihood estimator is simply to use the value of the Poisson rate estimated during the sample interval. |
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