A perturbation analysis approach to phantom estimators for waiting times in the G/G/1 queue.

B.F. Heidergott, T. Farenhorst - Yuan, F. Vazquez-Abad

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

We study gradient estimation for waiting times in the G/G/1 queue. We propose a new estimator based on a synthesis of perturbation analysis and weak differentiation. More specifically, we combine the perturbation propagation rules from perturbation analysis with perturbation generation rules from weak differentiation. This leads to an on-line phantom estimator. Numerical experiments show that this estimator has smaller work normalized variance than IPA. © The Author(s) 2009.
Original languageEnglish
Pages (from-to)249-273
Number of pages24
JournalDiscrete Event Dynamic Systems
Volume20
Issue number2
DOIs
Publication statusPublished - 2010

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