Title :
Compensators and derivative estimation for queueing systems
Author :
Zazanis, Michael A.
Author_Institution :
Dept. of Ind. Eng. & Manage. Sci., Northwestern Univ., Evanston, IL, USA
Abstract :
A fairly general method for sensitivity analysis of simulations is proposed involving the use of compensator identities. The case of a GI/GI/1 queue is discussed in some detail. Expressions for the derivatives of state probabilities that provide direct simulation estimates are given for single class closed queueing networks with Markovian routing. The method uses compensator identities in conjunction with infinitesimal perturbation analysis (IPA) techniques to provide low variance unbiased estimates at the expense of additional computational requirements
Keywords :
Markov processes; probability; queueing theory; sensitivity analysis; Markovian routing; compensator; derivative estimation; infinitesimal perturbation analysis; queueing networks; queueing theory; sensitivity analysis; state probabilities; Analysis of variance; Analytical models; Computational modeling; Industrial engineering; Performance analysis; Routing; Sensitivity analysis; State estimation; Steady-state; Stochastic processes;
Conference_Titel :
Decision and Control, 1990., Proceedings of the 29th IEEE Conference on
Conference_Location :
Honolulu, HI
DOI :
10.1109/CDC.1990.203570
