Sensitivity Analysis Of Discrete Event Systems

Analysis and Optimization of Systems

Volume 111 of the series Lecture Notes in Control and Information Sciences pp 917-924

Date:

The application of likelihood ratio based derivative estimates in interpolation approximations for queueing systems

  • Martin I. ReimanAffiliated withAT&T Bell Laboratories
  • , Burton SimonAffiliated withUniversity of Colorado
  • , Alan WeissAffiliated withAT&T Bell Laboratories
  • , J. Stanford WillieAffiliated withUS West Advanced Technologies

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Abstract

We provide a brief summary of some recent work which uses likelihood ratios to obtain derivative estimates in regenerative simulations. We then describe how these derivative estimates can be utilized in interpolation approximations for queueing systems, yielding simulation based interpolation approximations.