Response gradient estimation using mathematical programming models of discrete-event system sample paths

Authors:
Wai Kin (Victor) Chan;Lee W. Schruben
Affiliations:
Rensselaer Polytechnic Institute, Troy, NY;University of California, Berkeley, Berkeley, CA
Venue:
Proceedings of the 38th conference on Winter simulation
Year:
2006

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Abstract

This paper illustrates the use of mathematical programming in computing gradient estimators. Consistency property of these estimators is established under the usual assumptions for IPA gradient estimator consistency. A finite difference tolerance limit is introduced. For complex discrete-event systems, more concise linear programming representations are developed. These new representations provide a direct way of calculating gradient estimates.