Article ID: | iaor19951147 |
Country: | Switzerland |
Volume: | 53 |
Issue: | 1 |
Start Page Number: | 507 |
End Page Number: | 531 |
Publication Date: | Nov 1994 |
Journal: | Annals of Operations Research |
Authors: | Jacobson Sheldon H. |
Simulation sensitivity analysis is an important problem for simulation practitioners analyzing complex systems. The significance of this problem has resulted in the development of various gradient estimators that can be used to address this issue. Although higher derivative estimators have been discussed concurrently, less attention has been given to assess the efficiency and feasibility of computing such estimators. In this paper, two second derivative estimators are presented. The first estimators, called the HFD estimators, combine harmonic gradient estimators with finite differences second derivative estimators. The resulting hybrid estimators require