Perturbation analysis: the state of the art and research issues explained via the GI/G/1 queue

R. Suri

211 citations0/0 files storedProceedings of the IEEE

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Simulation Techniques and Applications Advanced Queuing Theory Analysis Petri Nets in System Modeling

Abstract

Perturbation analysis (PA) of discrete event dynamic systems (DEDS) enables parameter sensitivities of DEDS to be obtained by observing a single sample path of the system. A simple GI/G/1 system is used to give an introduction to PA and illustrate the basic theoretical issues involved in this technique. The application of PA to networks of queues is covered briefly, and then some of the recent extensions to PA are discussed. It is shown that many interesting open questions remain for PA, and areas for research are indicated.>

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References

1951A Stochastic Approximation Method 1989Personal communication 1952Stochastic Estimation of the Maximum of a Regression Function 1977Queueing systems, Vol. I: Theory 1979Principles of Discrete Event Simulation 1979A gradient technique for general buffer storage design in a production line 1983Perturbation analysis and optimization of queueing networks 1988Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue

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1990A Unified View of the IPA, SF, and LR Gradient Estimation Techniques 1997Perturbation realization, potentials, and sensitivity analysis of Markov processes 1996Sample-path optimization of convex stochastic performance functions 2000DT-bottlenecks in serial production lines: theory and application 1994Stochastic Optimization by Simulation: Convergence Proofs for the GI/G/1 Queue in Steady-State 1994On the Convergence Rates of IPA and FDC Derivative Estimators

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