Convergence of perturbation analysis estimates for discontinuous sample functions: a general approach

Authors
. Rubinstein, Reuven Y. Szidarovszky, Ferenc
Citation
Y. . Rubinstein, Reuven et Szidarovszky, Ferenc, Convergence of perturbation analysis estimates for discontinuous sample functions: a general approach, Advances in applied probability , 20(1), 1988, pp. 59-78
Journal title
Advances in applied probability → ACNP
ISSN journal
00018678
Volume
20
Issue
1
Year of publication
1988
Pages
59 - 78
Database
ACNP
SICI code
Abstract
Generalized perturbation analysis (PA) estimates to study sensitivity of performance measures of discrete events dynamic systems for discontinuous sample functions are introduced. Their convergence conditions and rate of convergence are given. It is shown that the PA estimates based on a single sample path always converge faster to the unknown sensitivity parameter (vector of parameters) than their counterpart.crude Monte Carlo ones.