On comparison of steady-state infinitesimal perturbation analysis and likelihood ratio derivative estimates

被引：0
|
作者：
Jian-Qiang Hu
Teng Lian
机构：
[1] Fudan University,Department of Management Science
[2] Fudan University,Department of Management Science
来源：
Discrete Event Dynamic Systems | 2023年 / 33卷
关键词：
Infinitesimal perturbation analysis; Likelihood ratio; Variance; M/M/1 queue;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we compare the infinitesimal perturbation analysis (IPA) and likelihood ratio (LR) derivative estimators for the steady-state system time of the M/M/1 queue. We derive the explicit formulas for the variances of both estimators. We then show IPA has smaller variance, which is often considered as a rule-of-thumb in the simulation literature. This is the first theoretical result that proves IPA has smaller variance than LR for steady-state performance measures.
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页码：95 / 104
页数：9
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