Gradient/sensitivity estimation in discrete-event simulation

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Gradient/sensitivity estimation in discrete-event simulation

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Winter Simulation Conference archive
Proceedings of the 25th conference on Winter simulation table of contents

Los Angeles, California, United States

Pages: 97 - 105

Year of Publication: 1993

ISBN:0-7803-1381-X

Author

Stephen G. Strickland

Dept. of Systems Engineering, University of Virginia, Charlottesville, VA

Sponsors

IEEE-CS : Computer Society
IEEE-SMCS : Systems, Man & Cybernetics Society
ACM: Association for Computing Machinery
ORSA : Operations Research Society of America
SIGSIM: ACM Special Interest Group on Simulation and Modeling
IIE : Institute of Industrial Engineers
SCS : Society for Computer Simulation
ASA : American Statistical Association
NIST : National Institue of Standards & Technology
TIMS/CSG :

Publisher

ACM New York, NY, USA

Bibliometrics

Downloads (6 Weeks): 3, Downloads (12 Months): 20, Citation Count: 5

Additional Information:

references cited by collaborative colleagues peer to peer

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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	Cao, X.R. 1985. "Convergence of Parameter Sensitivity Estimates in a Stochastic Experiment," IEEE Trans. on Automatic Control, vol. AC- 30, no. 9, pp. 845-854.
	2	Cassandras, C.G. and Strickland, S.G. 1989a. "On- Line Sensitivity Analysis of Markov Chains," IEEE Trans. on Automatic Control, vol. AC- 34, no. 1, pp. 76-86.
	3	Cassandras, C.G. and Strickland, S.G. 1989b. "Sample Path Properties of Timed Discrete Event Systems," Proceedings of the IEEE, vol. 77, no. 1, pp. 59- 71.
	4	Cassandras, C.G. and Strickland, S.G. 1989c. "Observable Augmented Systems For Sensitivity Analysis of Markov and Semi-Markov Processes," IEEE Trans. on Automatic Control, vol. 34, no. 10, pp. 1026-1037.
	5	Glasserman, P. 1990. Gradient Estimation via Perturbation Analysis, Kluwer, Boston.
	6	Glasserman, P. 1993. Regenerative Derivatives of Regenerative Sequences. Advances in Applied Probability,25, pp. 116-139.
	7	Glasserman, P. and Gong, W.B. 1990. "Smoothed Perturbation Analysis of Discrete-Event Systems," IEEE Transactions on Automatic Control, AC-35, 11, pp. 1218-1230.
	8	Glasserman, P., Hu, J.Q., and Strickland, S. 1991. "Strong Consistency of Sample Path Derivative Estimates," Probability in the Engineering and Informational Sciences, 5, pp. 391-413.
	9	Peter W. Glynn, Likelilood ratio gradient estimation: an overview, Proceedings of the 19th conference on Winter simulation, p.366-375, December 14-16, 1987, Atlanta, Georgia, United States [doi>10.1145/318371.318612]
	10	Glynn, P. 1989. "A GSMP Formalism For Discrete- Event Systems," Proc. of the IEEE, Vol. 77, No. 1, pp. 14-23.
	11	Gong, W.B. and Ho, Y.C. 1987. "Smoothed (conditional) Perturbation Analysis of Discrete- Event Dynamic Systems," IEEE Trans. on Automatic Control, vol. AC-32, no. 10, pp. 858-866.
	12	Philip Heidelberger , Xi-Ren Cao , Michael A. Zazanis , Rajan Suri, Convergence properties of infinitesimal perturbation analysis, Management Science, v.34 n.11, p.1281-1302, Nov. 1988 [doi>10.1287/mnsc.34.11.1281]
	13	Ho, Y.C. 1987. 'Performance evaluation and perturbation analysis of discrete event dynamical systems', IEEE Transactions on Automatic Control, Vol.7, pp.563-572.
	14	Ho, Y.C. and Li, S. 1988. "Extensions of Perturbation Analysis of Discrete Event Dynamic Systems," IEEE Trans. on Automatic Control, vol. AC-33, no. 10, pp. 427-438.
	15	Yu-Chi Ho , Shu Li , Pirooz Vakili, On the efficient generation of discrete event sample paths under different system parameter values, Mathematics and Computers in Simulation, v.30 n.4, p.347-370, September 1988 [doi>10.1016/S0378-4754(98)90005-2]
	16	Ho, Y.C. and Striekland, S.G. 1991. "A Taxonomy of Perturbation Analysis Techniques", Discrete Event Dynamic Systems, IEEE Press.
	17	Hu, J.Q. and Strickland, S.G. 1990. "Strong Consistency of Sample Path Derivative Estimates," 1990, Applied Mathematics Letters, Vol. 3, No. 4.
	18	Hu, J.Q. 1992. "Convexity of Sample Path Performance and Strong Consistency of Infinitesimal Perturbation Analysis Estimates," IEEE Transactions on Automatic Control, 37, pp. 258-262.
	19	Reiman, M. and Weiss, A. 1989. "Sensitivity Analysis for Simulations Via Likelihood Ratios," Operations Research, Vol. 37, No. 5, pp. 830- 844.
	20	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]
	21	Reuven Y. Rubinstein, Decomposable score function estimators for sensitivity analysis and optimization of queueing networks, Annals of Operations Research, v.39 n.1-4, p.195-227, 1992 [doi>10.1007/BF02060942]
	22	Rubinstein, R. and Shapiro, A. 1992b. D~screte Event Systems: Sensitivity Analysis and Stochastic Optimization via the Score Function Method, Wiley.
	23	Shi, Leyuan. 1992. "Discontinuous Perturbation Analysis," subm. to IEEE Trans. on Automatic Control.
	24	Suri, R. 1989. "Perturbation Analysis: The State of the Art and Research Issues Explained via the GI/G/1 Queue," Proceedings of the IEEE, vol. 77, no. 1, pp. 59- 71.
	25	Rajan Suri , Michael A. Zazanis, Perturbation analysis gives strongly consistent sensitivity estimates for the M/G/1 queue, Management Science, v.34 n.1, p.39-64, Jan. 1988 [doi>10.1287/mnsc.34.1.39]
	26	Vakili, P. 1991. "A Standard Clock Technique For Efficient Simulation," Operations Research Letters, 10, pp. 445-452.
	27	Pirooz Vakili, Massively parallel and distributed simulation of a class of discrete event systems: a different perspective, ACM Transactions on Modeling and Computer Simulation (TOMACS), v.2 n.3, p.214-238, July 1992 [doi>10.1145/146382.146389]
	28	Wardi, Y., Gong, W.B., Cassandras, C.G., and Kallmes, M.H. 1992. "Smoothed Perturbation Analysis for a Class of Pieeewise Constant Sample Performance Functions," Discrete Event Dynamic Systems: Theory and Applications, 1, pp. 393-414.
	29	Zhang, B. and Ho, Y.C. 1989. "Variance Reduction for Likelihood Ratio Methods," Proceedings of the 28th IEEE Conference on Decision and Control, 145-150.
	30	Zhang, B. and Ho, Y.C. 1991. "Performance Gradient Estimation for Very Large Markov Chains," IEEE Trans. on Automatic Control, AC-11, 1218- 1227.

CITED BY 5

	Robert W. Brennan , Paul Rogers, Stochastic optimization applied to a manufacturing system operation problem, Proceedings of the 27th conference on Winter simulation, p.857-864, December 03-06, 1995, Arlington, Virginia, United States
	W. David Kelton, Analysis of output data, Proceedings of the 26th conference on Winter simulation, p.62-68, December 11-14, 1994, Orlando, Florida, United States
	W. David Kelton, A tutorial on design and analysis of simulation experiments, Proceedings of the 27th conference on Winter simulation, p.24-31, December 03-06, 1995, Arlington, Virginia, United States
	W. David Kelton, Statistical issues in simulation, Proceedings of the 28th conference on Winter simulation, p.47-54, December 08-11, 1996, Coronado, California, United States
	W. David Kelton, Statistical analysis of simulation output, Proceedings of the 29th conference on Winter simulation, p.23-30, December 07-10, 1997, Atlanta, Georgia, United States

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