Article ID: | iaor19971158 |
Country: | Netherlands |
Volume: | 17 |
Issue: | 2 |
Start Page Number: | 77 |
End Page Number: | 84 |
Publication Date: | Mar 1995 |
Journal: | Operations Research Letters |
Authors: | Zazanis Michael A. |
Keywords: | stochastic processes |
The paper briefly describes sensitivity analysis methods for simulation via stochastic intensities and give applications on derivative estimation of event averages. It considers a process depending on a parameter and an event-counting process and obtain expressions for the derivatives of the expected numbr of events occurring while the process is in a given set. The necessary assumptions of these expressions to hold are also examined more specifically for queueing systems. The case of queues with renewal and nonhomogeneous Poisson arrivals is discussed in some detail.