Sensitivity estimates based on one realization of a stochastic system†
- 1 April 1987
- journal article
- research article
- Published by Taylor & Francis in Journal of Statistical Computation and Simulation
- Vol. 27 (3) , 211-232
- https://doi.org/10.1080/00949658708810992
Abstract
To estimate the performance sensitivity with respect to a parameter 0 using the Monte Carlo method usually requires two simulations, one for the system with parameter 0 and the other for that with 0 + ▵θ. In this paper, two estimates of the sensitivity based on only one simulation of the system with 0 are investigated. Their properties are compared. The basic results are illustrated through some simple examples.Keywords
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