Variance property of discontinuous perturbation analysis

Authors:
Leyuan Shi
Affiliations:
Department of Industrial Engineering, University of Wisconsin-Madison, Madison, WI
Venue:
WSC '96 Proceedings of the 28th conference on Winter simulation
Year:
1996

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Abstract

In recent article we presented a Discontinuous Perturbation Analysis (DPA) to deal with discontinuous sample performance functions. DPA is applicable to derivative estimation with respect to most threshold type of problems in Discrete Event Dynamic Systems (DEDS). In this paper, we examine the variance property of DPA method through a few examples. We will demonstrate that a better variance reduction can be obtained via DPA approach even if IPA Infinitesimal Perturbation Analysis (IPA) is applicable. A numerical example is also provided to compare DPA with other derivative estimation techniques.