haku: @indexterm SENSITIVITY ANALYSIS / yhteensä: 105
viite: 74 / 105
| Tekijä: | Rubinstein, R. Y. |
| Otsikko: | Sensitivity analysis and performance extrapolation for computer simulation models. |
| Lehti: | Operations Research
1989 : JAN-FEB, VOL. 37:1, p. 72-81 |
| Asiasana: | SIMULATION MODELS SENSITIVITY ANALYSIS |
| Kieli: | eng |
| Tiivistelmä: | The so-called score function method is presented for estimating simultaneously from the same simulation sample, the performance measure of discrete event systems and all its sensitivities, i.e. derivatives, gradients, etc., for computer simulation models. Implementation of the score function approach for estimating the sensitivities and probability measure transformations is very simple, it requires computation of the efficient score of underlying density only. A rather general procedure is also presented from which perturbation analysis and the presented method can be viewed as particular cases. Applications to stochastic models are given. |
SCIMA