haku: @author Weiss, A. / yhteensä: 18
viite: 9 / 18
| Tekijä: | Reiman, M. I. Weiss, A. |
| Otsikko: | Sensitivity analysis for simulations via likelihood ratios. |
| Lehti: | Operations Research
1989 : SEP-OCT, VOL. 37:5, p. 830-844 |
| Asiasana: | SENSITIVITY ANALYSIS SIMULATION |
| Kieli: | eng |
| Tiivistelmä: | A nearly cost-free simple method of estimating sensitivity of quantities during the course of running a simulation is given. The method is based on a class of theorems derived from likelihood ratios. Sensitivities can be estimated with respect to branching probabilities, means of normal or Poisson random distribution variables, and changes in local time scales, because the possible paths do not change with these parameters. It is apparent that the method is particularly well suited to regenerative simulation, and can be implemented on extant simulations with little effort, increase in running time, or memory requirements. |
SCIMA