Generalized sensitivity analysis of ergodic stochastic systems

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Abstract

The tools for sensitivity analysis of stochastic systems whose behavior is described by ergodic stationary processes are presented. Three kinds of generalized estimates for performance sensitivities of these systems are introduced. These estimates, based on a use of time averages, are given in general operator form. Their convergence conditions and rate of convergence are obtained. It is shown that perturbation analysis estimates are generally preferable to crude Monte Carlo estimates.

Original languageEnglish
Pages (from-to)123-136
Number of pages14
JournalMathematics and Computers in Simulation
Volume31
Issue number1-2
DOIs
StatePublished - 1 Jan 1989

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Computer Science (all)
  • Numerical Analysis
  • Modeling and Simulation
  • Applied Mathematics

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