Derivatives of likelihood ratios and smoothed perturbation analysis for the routing problem

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Derivatives of likelihood ratios and smoothed perturbation analysis for the routing problem

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ACM Transactions on Modeling and Computer Simulation (TOMACS) archive
Volume 3 , Issue 2 (April 1993) table of contents

Pages: 134 - 161

Year of Publication: 1993

ISSN:1049-3301

Authors

P. Brémaud	Laboratoire des Signaux et Syste`mes CNRS-ESE, Gif sur Yvette, France
W.-B. Gong	Univ. of Massachusetts, Amherst

Publisher

ACM New York, NY, USA

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Downloads (6 Weeks): 1, Downloads (12 Months): 22, Citation Count: 1

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REFERENCES

Note: OCR errors may be found in this Reference List extracted from the full text article. ACM has opted to expose the complete List rather than only correct and linked references.

	1	BACCELLI, F., AND BR}~MAUD, P. 1980. Palm Probab~ht~es and Statwnary Queues. Lecture Notes in Statistics, vol. 41. Springer-Verlag, New York.
	2	BRMAUD, P. 1981. Point Processes and Queues: Martingale Dynamics. Sprmger-Verlag, New York.
	3	Pierre Brémaud , Felisa J. Vázquez-Abad, On the pathwise computation of derivatives with respect to the rate of a point process: the phantom RPA method, Queueing Systems: Theory and Applications, v.10 n.3, p.249-270, Jan. 1992 [doi>10.1007/BF01159209]
	4	Dimitri Bertsekas , Robert Gallager, Data networks (2nd ed.), Prentice-Hall, Inc., Upper Saddle River, NJ, 1992
	5	CAO, X~-R. 1985. Convergence of parameter sensitivity estimates in a stochastic experiment. IEEE Trans. Automat. Contr. AC-30, 9, 845-853.
	6	DuPuIS, P., AND SIMHA, R. 1991. On sampling controlled stochastic approximation. IEEE Trans. Automat. Contr. AC-36, 8, 915-924.
	7	GALLAGER, R. G. 1977. A minimum delay routing algorithm using distributed computation. IEEE Trans. Commun. COM-25 (Jan), 73-85.
	8	Paul Glasserman, Filtered Monte Carlo, Mathematics of Operations Research, v.18 n.3, p.610-634, Aug. 1993 [doi>10.1287/moor.18.3.610]
	9	GLASSERMAN, P. 1990. Gradient Esttmatzon via Perturbation Analysts. Kluwer, Boston.
	10	Peter W. Glynn, Likelihood ratio gradient estimation for stochastic systems, Communications of the ACM, v.33 n.10, p.75-84, Oct. 1990 [doi>10.1145/84537.84552]
	11	Wei-Bo Gong, Smoothed perturbation analysis algorithm for a G/G/1 routing problem, Proceedings of the 20th conference on Winter simulation, p.525-531, December 12-14, 1988, San Diego, California, United States [doi>10.1145/318123.318247]
	12	GONG, W.-B~ 1987. Smoothed perturbation analysis of discrete event dynamical systems. Ph.D. thesis, Div. of Applied Sciences, Harvard Univ., Cambridge, Mass.
	13	Ho, Y. C., AND CAO, X.-R. 1991. Perturbation Analysis of Discrete Event Dynamical Systems. Kluwer, Boston.
	14	KANSTANTOPOULOS, K., AND ZAZANIS, M. 1992. Sensivity analysis for stationary and ergodic queues. Advances Appl. Probab. 24, 738-750.
	15	LIPTSER, R. S., AND SHIRYAYEV, A. N. 1977. Statistics of Random Processes. Vol. I and II. Springer-Verlag, New York.
	16	LOYNES, R.M. 1962. The stability of queues with non-independent interarrival and service times. Proc. Cambridge Philos. Soc. 58, 497-520.
	17	Pierre L'Ecuyer, A unified view of the IPA, SF, and LR gradient estimation techniques, Management Science, v.36 n.11, p.1364-1383, Nov. 1990 [doi>10.1287/mnsc.36.11.1364]
	18	MATTHES, K. 1962. Zur theorie der bediennungsprozesse. In Transactions of the 3rd Prague Conference on Information Theory Statistics. In German.
	19	REIMAN, M., AND WEISS, A. 1989. Sensitivity analysis for simulations via likelihood ratios. Oper. Res. 37, 830-844.
	20	R. Rubinstein, How to optimize discrete-event systems from a single sample path by the score function method, Annals of Operations Research, v.27 n.1-4, p.175-212, Dec. 1990 [doi>10.1007/BF02055195]
	21	R. Y. Rubinstein, Sensitivity analysis and performance extrapolation for computer simulation models, Operations Research, v.37 n.1, p.72-81, Jan.-Feb. 1989 [doi>10.1287/opre.37.1.72]
	22	SEGAL, A. 1977. The modeling of adaptive routing in data communication networks. IEEE Trans. Commun. COM-25 (Jan.), 85-95.

CITED BY

Yu-Chi Ho, Perturbation analysis: concepts and algorithms, Proceedings of the 24th conference on Winter simulation, p.231-240, December 13-16, 1992, Arlington, Virginia, United States

INDEX TERMS

Primary Classification:
I. Computing Methodologies
I.6 SIMULATION AND MODELING

General Terms:
Algorithms, Performance, Theory

Keywords:
discrete-event simulation, gradient estimation, sensitivity, stationary and ergodic estimates

REVIEW

"Osman Balci : Reviewer"

Motivated by the network routing problem, the authors present stationary gradient estimates of the cycle variables with respect to a thinning parameter in the arrival process of G/G/1 queueing systems. The type of routing problems considered in more...

Collaborative Colleagues:

P. Brémaud: colleagues

W.-B. Gong: colleagues

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