DERIVATIVE ESTIMATION VIA STOCHASTIC INTENSITIES - EVENT AVERAGES IN QUEUING-SYSTEMS

We briefly describe sensitivity analysis methods for simulation via st ochastic intensities and give applications on derivative estimation of event averages. We consider a process depending on a parameter and an event-counting process and obtain expressions for the derivatives of the expected number of events occurring while the process is in a give n set. The necessary assumptions of these expressions to hold are also examined more specifically for queueing systems. The case of queues w ith renewal and nonhomogeneous Poisson arrivals is discussed in some d etail.