ON USING PERTURBATION ANALYSIS TO DO SENSITIVITY ANALYSIS - DERIVATIVES VERSUS DIFFERENCES

One use of perturbation analysis is to compute the derivative of a performance measure P with respect to a parameter-theta for use in iterative optimization schemes to locate local maxima by driving the derivative to zero. It has been pointed out that in stochastic approximation contexts, there is an advantage in using derivatives as opposed to differences. Another use of perturbation analysis is just to do a sensitivity analysis with respect to a parameter without relation to any optimization. For sensitivity analysis, we point out advantages in using differences rather than derivatives. This motivates the use of noninfinitesimal. perturbations analysis (or other techniques) whereby perturbation information can be obtained from a single run.