SAMPLE PATH DERIVATIVES FOR (S, S) INVENTORY SYSTEMS

For (s, S) inventory systems, we derive sample path derivatives of performance measures with respect to the two Parameters s and S. These derivatives yield derivative estimators which can be estimated from a single sample path or simulation of the inventory system, in some cases not even requiring actual knowledge of the underlying demand distribution. Such derivative estimates would be useful in sensitivity analysis or in gradient-based optimization techniques. We consider the nondiscounted periodic review system with general independent and identically distributed (i.i.d.) continuous demands, full backlogging, and general holding and shortage costs. For the infinite horizon model. consistency proofs are given for some special cases, although we argue why the estimators should be correct for the more general case.