Smoothed Perturbation Analysis algorithms for estimating the derivatives of occupancy-related functions in serial queueing networks

Smoothed Perturbation Analysis algorithms for estimating the derivatives of occupancy-related functions in serial queueing networks

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Article ID: iaor19931598
Country: Switzerland
Volume: 39
Issue: 1/4
Start Page Number: 269
End Page Number: 293
Publication Date: Jan 1993
Journal: Annals of Operations Research
Authors: , , ,
Keywords: numerical analysis
Abstract:

The authors present unbiased Smoothed Perturbation Analysis (SPA) estimators for the derivatives of occupancy-related performance functions in serial networks of G/G/1 queues with respect to parameters of the distributions of service times at the queues. The sample functions for these performance measures are piecewise constant, and established Infinitesimal Perturbation Analysis methods typically fail to provide unbiased estimators in this case. The performance measures considered in this paper are: the average network occupancy as seen by an arrival, the average occupancy of a specific queue as seen by an arrival to it, the probability that a customer is blocked at a specific queue, and the probability that a customer leaves a queue idle. The SPA estimators derived are quite simple and flexible, and they lend themselves to straightforward analysis. Unlike most of the established SPA algorithms, those of the authors are not based on the comparison of harzard rates, and the proofs of their unbiasedness do not require the boundedness of such hazard rates.

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