Comparison of gradient estimation techniques for queues with non-identical servers

Comparison of gradient estimation techniques for queues with non-identical servers

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Article ID: iaor19952324
Country: United Kingdom
Volume: 22
Issue: 7
Start Page Number: 715
End Page Number: 729
Publication Date: Aug 1995
Journal: Computers and Operations Research
Authors: , ,
Keywords: statistics: experiment
Abstract:

Gradient estimation techniques for stochastic discrete-event simulation have been a major topic of research over the past decade. In this paper, the authors apply two of the techniques-perturbation analysis and the likelihood ratio method-to a single-queue system with non-identical multiple servers. They derive estimates for derivatives of mean steady-state system time with respect to parameters of the underlying timing distributions. In terms of perturbation analysis, the authors consider both an infinitesimal perturbation analysis estimator, which is biased for this problem, and two smoothed perturbation analysis estimators, one unbiased but not very practical and one approximate but easily implementable. For two servers, they provide an analytical proof of unbiasedness in steady state for the Markovian case. For the likelihood ratio method, the authors apply the regenerative likelihood ratio estimator. They provide simulation results for both Markovian and non-Markovian examples, and compare the performance of the various estimators. The authors conclude that no one method perfroms universally well, and provide recommendations as to when one is likely to be preferred to the others.

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