Title :
Convexity of sample path performance and strong consistency of infinitesimal perturbation analysis estimates
Author_Institution :
Div. of Appl. Sci., Harvard Univ., Cambridge, MA, USA
fDate :
2/1/1992 12:00:00 AM
Abstract :
A strong consistency of infinitesimal perturbation analysis (IPA) estimates for a class of stochastic processes satisfying certain convex properties is established. The approach is based on convex analysis of sample paths. Applications of the results to tandem and cyclic queueing systems are discussed. Possible extensions to more general systems are also illustrated
Keywords :
estimation theory; parameter estimation; queueing theory; stochastic processes; convex analysis; convexity; cyclic queueing systems; infinitesimal perturbation analysis estimates; parameter estimation; sample path performance; sample paths; stochastic processes; strong consistency; tandem queueing systems; Analytical models; Contracts; Discrete event simulation; H infinity control; Military computing; Performance analysis; Queueing analysis; Random variables; Stochastic processes; Sufficient conditions;
Journal_Title :
Automatic Control, IEEE Transactions on
