DocumentCode
3077834
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
fYear
1990
fDate
5-7 Dec 1990
Firstpage
173
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1990., Proceedings of the 29th IEEE Conference on
Conference_Location
Honolulu, HI
Type
conf
DOI
10.1109/CDC.1990.203570
Filename
203570
Link To Document