Amplitude selection in transient sensitivity analysis

Authors:
Douglas J. Morrice;Sheldon H. Jacobson
Affiliations:
MSIS Department, The University of Texas at Austin, Austin, Texas;Department of Industrial and Systems Engineering, Virginia Polytechnic Institute and State University, Blacksburg, Virginia
Venue:
WSC '95 Proceedings of the 27th conference on Winter simulation
Year:
1995

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Abstract

Most research in computer simulation sensitivity analysis can be classified as steady-state sensitivity analysis. This paper considers an approach to transient sensitivity analysis, i.e. an approach to study the transient behaviour of a performance measure in response to changes in one or more input factors. We examine the issue of factor magnitude change (or factor amplitude) selection and how the choice of factor amplitudes impacts the overall analysis. We also consider a control variate variance reduction scheme designed to improve performance when small amplitude changes are used. A tandem queue example illustrates the results.