A Perturbation Analysis Approach to Phantom Estimators for Waiting Times in the G/G/1 Queue

Authors:
Bernd Heidergott;Taoying Farenhorst-Yuan;Felisa Vázquez-Abad
Affiliations:
Department of Econometrics, Vrije Universiteit Amsterdam, Amsterdam, The Netherlands;Department of Econometrics, Vrije Universiteit Amsterdam, Amsterdam, The Netherlands;Department of Computer Science, Hunter College, The City University of New York, New York, USA
Venue:
Discrete Event Dynamic Systems
Year:
2010

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Abstract

We study gradient estimation for waiting times in the G/G/1 queue. We propose a new estimator based on a synthesis of perturbation analysis and weak differentiation. More specifically, we combine the perturbation propagation rules from perturbation analysis with perturbation generation rules from weak differentiation. This leads to an on-line phantom estimator. Numerical experiments show that this estimator has smaller work normalized variance than IPA.