Title :
Stability of IPA derivative estimates through a stochastic linear difference equation
Author :
Glasserman, Paul
Author_Institution :
Columbia Univ., New York, NY, USA
Abstract :
When the waiting times in a queuing system satisfy an explicit recursion, their derivatives, which are infinitesimal perturbation analysis (IPA) estimates, satisfy a linear difference equation with random coefficients. Simple conditions on the coefficients guarantee the stability and convergence of the IPA estimates. These conditions are related to the underlying dynamics
Keywords :
difference equations; linear differential equations; queueing theory; convergence; derivative estimate stability; infinitesimal perturbation analysis; queuing system; stochastic linear difference equation; Convergence; Difference equations; Queueing analysis; Recursive estimation; Stability; Steady-state; Stochastic processes; Stochastic systems; Writing;
Conference_Titel :
Decision and Control, 1991., Proceedings of the 30th IEEE Conference on
Conference_Location :
Brighton
Print_ISBN :
0-7803-0450-0
DOI :
10.1109/CDC.1991.261536
