Title :
Smoothed (conditional) perturbation analysis of discrete event dynamical systems
Author :
Gong, Wei-Bo ; Ho, Yu-chi
Author_Institution :
Harvard University, Cambridge, MA, USA
fDate :
10/1/1987 12:00:00 AM
Abstract :
A new sample path analysis approach based on the smoothing property of conditional expectation for estimating the performance sensitivity of discrete event dynamical systems is proposed. Several examples are presented to show how this approach overcomes a difficulty of the ordinary infinitesimal perturbation analysis. The basic message is that one can get more knowledge about the system performance by observing and analyzing the sample path than by using the conventional simulation approach. It is also pointed out that the classical queueing theory approach for getting the performance sensitivity and the sample path based infinitesimal perturbation analysis approach can be unified in the framework of the new approach, the smoothed (conditional) perturbation analysis.
Keywords :
Discrete-event system (DES); Perturbation methods; Smoothing methods; Stochastic systems; Analytical models; Computer simulation; Performance analysis; Q measurement; Queueing analysis; Random number generation; Random sequences; Random variables; Stochastic systems; System performance;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1987.1104464