Convergence of perturbation analysis estimates for discontinuous sample functions: a general approach
- 1 March 1988
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 20 (1) , 59-78
- https://doi.org/10.2307/1427270
Abstract
Generalized perturbation analysis (PA) estimates to study sensitivity of performance measures of discrete events dynamic systems for discontinuous sample functions are introduced. Their convergence conditions and rate of convergence are given. It is shown that the PA estimates based on a single sample path always converge faster to the unknown sensitivity parameter (vector of parameters) than their counterpart—crude Monte Carlo ones.Keywords
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