INFINITESIMAL PERTURBATION ANALYSIS OF A BIRTH AND DEATH PROCESS

被引：9

作者：

GLASSERMAN, P

机构：

[1] Harvard Univ, Cambridge, MA, USA, Harvard Univ, Cambridge, MA, USA

来源：

OPERATIONS RESEARCH LETTERS | 1988年 / 7卷 / 01期

基金：

美国国家科学基金会;

关键词：

COMPUTER SIMULATION - MATHEMATICAL TECHNIQUES - Algorithms;

D O I：

10.1016/0167-6377(88)90051-X

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

Using a birth and death process as an illustrative example, we introduce the notion of alternative representations of stochastic processes. We discuss its importance for infinitesimal perturbation analysis derivative estimation. Through a different choice of representation, we are led to an infinitesimal perturbation analysis (IPA) algorithm for a birth and death process better than one discussed by other authors.

引用

页码：43 / 49

页数：7

共 9 条

[1] CONVERGENCE OF PARAMETER SENSITIVITY ESTIMATES IN A STOCHASTIC EXPERIMENT [J].