Smoothed perturbation analysis derivative estimation for Markov chains

Using the technique of smoothed perturbation analysis, the authors 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.