Uniformization and performance sensitivity estimation in closed queueing networks |
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Authors: | Xi-Ren Cao |
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Abstract: | This paper proposes a single sample path-based sensitivity estimation method for discrete event systems. The method employs two major techniques: uniformization and importance sampling. By uniformization, steady-state performance measures can be estimated via the transition matrix of the embedded Markov chain in the uniformized process. The sensitivity of a transition matrix is obtained by applying importance sampling to an ensemble average of sample paths. The algorithm developed for this method is easy to be implemented; the method applies to more systems than infinitesimal perturbation analysis. |
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Keywords: | Importance sampling Perturbation analysis Likelihood ratio method Standard clock Ensemble average |
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