Sensitivity analysis and the “what if” problem in simulation analysis

  • Authors:

  • H. Arsham;A. Feuerverger;D. L. Mcleish;J. Kreimer;R. Y. Rubinstein

  • Affiliations:

  • School of Business, University of Baltimore, Baltimore, MD 21201, U.S.A.;Department of Statistics, University of Toronto, Toronto, Ontario M5S IA1, Canada;Department of Statistics, University of Waterloo, Waterloo, Ontario NZL 3G1, Canada;Department of Industrial Engineering and Management, Ben-Gurion University of Negev, Beer-Sheva 84105, Israel;Faculty of Engineering Management, TechnionIsrael Institute of Technology, Technion City, Haifa 32000, Israel and Department of Operations Research, George Washington University, Washington, DC 20 ...

  • Venue:
  • Mathematical and Computer Modelling: An International Journal
  • Year:
  • 1989

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Abstract

We discuss some known and some new results on the score function (SF) approach for simulation analysis. We show that while simulating a single sample path from the underlying system or from an associated system and applying the Radon-Nikodym measure one can: estimate the performance sensitivities (gradient, Hessian etc.) of the underlying system with respect to some parameter (vector of parameters); extrapolate the performance measure for different values of the parameters; evaluate the performance measures of queuing models working in heavy traffic by simulating an associated (auxiliary) queuing model working in light (lighter) traffic; evaluate the performance measures of stochastic models while simulating random vectors (say, by the inverse transform method) from an auxiliary probability density function rather than from the original one (say by the acceptance-rejection method). Applications of the SF approach to a broad variety of stochastic models are given.