The score function approach for sensitivity analysis of computer simulation models

Reuven Y. Rubinstein

Mathematics and Computers in Simulation (MATCOM), 1986, vol. 28, issue 5, 351-379

Abstract: Some theoretical and practical aspect of the score function (SF) approach for estimating the sensitivities of computer simulation models and solving the so-called “what if” problem (performance extrapolation) are considered. It is shown that both the sensitivities (gradients, Hessians, etc.) and the performance extrapolation can be derived simultaneously by simulating only a single sample path from the nominal system. It is also shown that the SF approach can be efficiently applied for DESS (discrete event static systems, example: reliability models and stochastic networks) and for DEDS (discrete events dynamic systems, example: queuing networks) under light traffics. Control variates procedure for variance reduction is presented as well

Date: 1986
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:28:y:1986:i:5:p:351-379

DOI: 10.1016/0378-4754(86)90072-8

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