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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Perturbation Analysis
Phantom
Waiting Time
Queue
Estimator
Gradient Estimation
Perturbation
Rule Generation
Experiments
Numerical Experiment
Synthesis
Propagation

Cite this

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title = "A perturbation analysis approach to phantom estimators for waiting times in the G/G/1 queue.",
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. {\circledC} The Author(s) 2009.",
author = "B.F. Heidergott and {Farenhorst - Yuan}, T. and F. Vazquez-Abad",
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A perturbation analysis approach to phantom estimators for waiting times in the G/G/1 queue. / Heidergott, B.F.; Farenhorst - Yuan, T.; Vazquez-Abad, F.

In: Discrete Event Dynamic Systems, Vol. 20, No. 2, 2010, p. 249-273.

Research output: Contribution to JournalArticleAcademicpeer-review

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T1 - A perturbation analysis approach to phantom estimators for waiting times in the G/G/1 queue.

AU - Heidergott, B.F.

AU - Farenhorst - Yuan, T.

AU - Vazquez-Abad, F.

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AB - 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.

U2 - 10.1007/s10626-009-0066-7

DO - 10.1007/s10626-009-0066-7

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JO - Discrete Event Dynamic Systems

JF - Discrete Event Dynamic Systems

SN - 0924-6703

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