Note---Pathwise Convexity and its Relation to Convergence of Time-Average Derivatives

Peter W. Glynn
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Peter W. Glynn: Department of Operations Research, Stanford University, Stanford, California 94305--4022

Management Science, 1992, vol. 38, issue 9, 1360-1366

Abstract: In this note, we further develop the pathwise convexity approach introduced by Hu (1991) to prove consistency of infinitesimal perturbation analysis for the derivative of the steady-state waiting time of the G/G/1 queue. In addition to generalizing the argument, we illustrate the technique with applications to stochastic storage theory and networks of queues.

Keywords: convexity; infinitesimal perturbation analysis; derivatives; steady-state (search for similar items in EconPapers)
Date: 1992
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:38:y:1992:i:9:p:1360-1366

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