Rates of Convergence of Ordinal Comparison for Dependent Discrete Event Dynamic Systems

L. Dai and C. H. Chen
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L. Dai: Washington University
C. H. Chen: University of Pennsylvania

Journal of Optimization Theory and Applications, 1997, vol. 94, issue 1, No 3, 29-54

Abstract: Abstract Recent research has demonstrated that ordinal comparison, i.e., comparing relative orders of performance measures, converges much faster than the performance measures themselves do. Sometimes, the rate of convergence can be exponential. However, the actual rate is affected by the dependence among systems under consideration. In this paper, we investigate convergence rates of ordinal comparison for dependent discrete event dynamic systems. Although counterexamples show that positive dependence is not necessarily helpful for ordinal comparison, there does exist some dependence that increases the convergence rate of ordinal comparison. It is shown that positive quadrant dependence increases the convergence rate of ordinal comparison, while negative quadrant dependence decreases the rate. The results of this paper also show that the rate is maximized by using the scheme of common random numbers, a widely-used technique for variance reduction.

Keywords: Discrete event dynamic systems; ordinal comparison; convergence rate; correlation (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (5)

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DOI: 10.1023/A:1022651401451

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