DocumentCode
3474353
Title
Stability of IPA derivative estimates through a stochastic linear difference equation
Author
Glasserman, Paul
Author_Institution
Columbia Univ., New York, NY, USA
fYear
1991
fDate
11-13 Dec 1991
Firstpage
1161
Abstract
When the waiting times in a queuing system satisfy an explicit recursion, their derivatives, which are infinitesimal perturbation analysis (IPA) estimates, satisfy a linear difference equation with random coefficients. Simple conditions on the coefficients guarantee the stability and convergence of the IPA estimates. These conditions are related to the underlying dynamics
Keywords
difference equations; linear differential equations; queueing theory; convergence; derivative estimate stability; infinitesimal perturbation analysis; queuing system; stochastic linear difference equation; Convergence; Difference equations; Queueing analysis; Recursive estimation; Stability; Steady-state; Stochastic processes; Stochastic systems; Writing;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1991., Proceedings of the 30th IEEE Conference on
Conference_Location
Brighton
Print_ISBN
0-7803-0450-0
Type
conf
DOI
10.1109/CDC.1991.261536
Filename
261536
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