Uniformization and performance sensitivity estimation in closed queueing networks

Authors:
Cao Xi-Ren
Affiliations:
Department of Electrical and Electronic Engineering The Hong Kong University of Science and Technology Clear Water Bay, Kowloon, Hong Kong
Venue:
Mathematical and Computer Modelling: An International Journal
Year:
1996

Citing 7
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Abstract

This paper proposes a single sample path-based sensitivity estimation method for discrete event systems. The method employs two major techniques: uniformization and importance sampling. By uniformization, steady-state performance measures can be estimated via the transition matrix of the embedded Markov chain in the uniformized process. The sensitivity of a transition matrix is obtained by applying importance sampling to an ensemble average of sample paths. The algorithm developed for this method is easy to be implemented; the method applies to more systems than infinitesimal perturbation analysis.