SMOOTHED PERTURBATION ANALYSIS DERIVATIVE ESTIMATION FOR MARKOV-CHAINS

被引：17

作者：

FU, MC ^{[1
]}

HU, JQ ^{[1
]}

机构：

[1] BOSTON UNIV,DEPT MFG ENGN,BOSTON,MA 02215

来源：

OPERATIONS RESEARCH LETTERS | 1994年 / 15卷 / 05期

基金：

美国国家科学基金会;

关键词：

SENSITIVITY ANALYSIS; DERIVATIVE ESTIMATION; PERTURBATION ANALYSIS; MARKOV CHAINS;

D O I：

10.1016/0167-6377(94)90084-1

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

Using the technique of smoothed perturbation analysis, we consider steady-state performance measures for continuous-time Markov chains and derive a derivative estimator that can be estimated from a single sample path of the chain under consideration. The estimator is applicable to multi-class queueing networks, for which previous infinitesimal perturbation analysis estimators failed. A simple multi-class queueing network is used to illustrate the application of the estimator.

引用

页码：241 / 251

页数：11

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