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
收藏
页码：241 / 251
页数：11
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