Decomposable score function estimators for sensitivity analysis and optimization of queueing networks

Decomposable score function estimators for sensitivity analysis and optimization of queueing networks

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Article ID: iaor19931597
Country: Switzerland
Volume: 39
Issue: 1/4
Start Page Number: 195
End Page Number: 227
Publication Date: Jan 1993
Journal: Annals of Operations Research
Authors:
Keywords: optimization, measurement
Abstract:

This paper surveys some recent results and presents some new results on the so-called decomposable and truncated score functions (DSF and TSF) estimators for performance evaluation, sensitivity analysis and optimization of open non-Markovian (non-product) queueing networks. The idea behind the TSF estimators is based on truncation of the score function process, while the idea behind the DSF estimators is to decompose the queueing network into smaller units, called modules, such that each module contains several connected queues, and then approximate the unknown quantities by treating these modules as if they were completely independent. In other words, in the DSF estimators frequently occurrent local regnerative cycles are used at each individual module instead of true but seldom occurrent global ones of the entire system. Although the local cycles at each module interact with their neighbors, the present numerical studies show that typically the contribution from the neighbors is quite small and thus DSF estimators approximate the unknown quantities rather well, in the sense that their bias is reasonably small and the variance is much smaller than that of the standard score function estimators. Both DSF and TSF estimators were implemented in a simulation package, called the queueing network stabilizer and optimizer (QNSO). This package is suitable for performance evaluation, sensitivity analysis and optimization of general open non-Markovian queueing networks with respect to the parameter vector of an exponential family of distributions.

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