The score function approach for sensitivity analysis of computer simulation models
Mathematics and Computers in Simulation
Monte Carlo optimization, simulation, and sensitivity of queueing networks
Monte Carlo optimization, simulation, and sensitivity of queueing networks
Estimating the sojourn time sensitivity in queueing networks using perturbation analysis
Journal of Optimization Theory and Applications
Sensitivity analysis via likelihood ratios
WSC '86 Proceedings of the 18th conference on Winter simulation
Stochastic approximation for Monte Carlo optimization (1986)
Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come
Brief paper: Infinitesimal and finite perturbation analysis for queueing networks
Automatica (Journal of IFAC)
Sensitivity analysis and the “what if” problem in simulation analysis
Mathematical and Computer Modelling: An International Journal
Real-time multiserver and multichannel systems with shortage of maintenance crews
Mathematical and Computer Modelling: An International Journal
| Hi-index | 0.98 |
Three kinds of estimates for performance sensitivities (gradients, Hessians etc.) of stochastic systems are introduced. These estimates are given in general operator form. Their convergence conditions and rate of convergence are presented. Particular attention is given to estimates obtained from a single sample path. Various examples of estimates are considered.