Perturbation analysis explained

Author

Ho, Y.C.

Author_Institution

Div. of Appl. Sci., Harvard Univ., Cambridge, MA, USA

Volume

33

Issue

8

fYear

1988

fDate

8/1/1988 12:00:00 AM

Firstpage

761

Lastpage

763

Abstract

Perturbation analysis (PA) is a technique for the computation of the gradient of the performance measure (PM) of a discrete-event dynamic system with respect to its parameters (θ) using only sample path or Monte Carlo experiment of the system. A pertinent question is considered, namely, how it is possible to obtain information about a trajectory/sample path operating under one value of the system parameter from that of one operating under a different value when the two trajectories behave entirely dissimilarly. A conceptual explanation is offered in terms of two basic ideas in random variable generation. A simple example of perturbation analysis is given which illustrates the result

Keywords

Monte Carlo methods; discrete systems; perturbation techniques; Monte Carlo methods; discrete event systems; dynamic system; performance measure; perturbation analysis; perturbation techniques; random variable generation; Automatic control; Control systems; Delay effects; Delay systems; Differential equations; Large-scale systems; Linear systems; Performance analysis; Random variables; Stability;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/9.1294

Filename

1294