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| Author: | Glasserman, P. |
| Title: | Structural conditions for perturbation analysis derivative estimation: finite-time performance indices. |
| Journal: | Operations Research
1991 : SEP-OCT, VOL. 39:5, p. 724-738 |
| Index terms: | QUEUING THEORY SIMULATION ESTIMATION |
| Language: | eng |
| Abstract: | Methods for estimating derivatives of performance measures from sample paths of stochastic systems are widely searched. Derivative estimates offer a general means of optimizing performance, and are useful in sensitivity analysis. The recent paper concerns one approach to derivative estimations, known as infinitesimal perturbation analysis. A general framework is developed for these types of estimates, and simple sufficient conditions for them to be unbiased are given. The key to the results is identifying conditions under which certain finite-horizon performance measures are almost surely continuous functions of the parameter of differentiation throughout an interval. |
SCIMA