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

  • Martin I. Reiman
  • Burton Simon
  • Alan Weiss
  • J. Stanford Willie
Sensitivity Analysis Of Discrete Event Systems
Part of the Lecture Notes in Control and Information Sciences book series (LNCIS, volume 111)

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.

References

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    Reiman, M. I., Simon, B., and Willie, J. S., Simterpolations, in preparation.Google Scholar
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    Reiman, M. I. and Weiss, A., Sensitivity analysis via likelihood ratios, Proceedings of the 1986 Winter Simulation Conference, 285–289, 1986.Google Scholar
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    Crane, M. A. and Iglehart, D. L., Simulating stable stochastic systems III: regenerative processes and discrete event simulation, Oper. Res., 23, 33–45 (1975).Google Scholar

Copyright information

© Springer-Verlag 1988

Authors and Affiliations

  • Martin I. Reiman
    • 1
  • Burton Simon
    • 2
  • Alan Weiss
    • 3
  • J. Stanford Willie
    • 4
  1. 1.AT&T Bell LaboratoriesMurray Hill
  2. 2.University of ColoradoDenver
  3. 3.AT&T Bell LaboratoriesMurray Hill
  4. 4.US West Advanced TechnologiesDenver

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