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Convergence rates for steady-state derivative estimators

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Abstract

We describe various derivative estimators for the case of steady-state performance measures and obtain the order of their convergence rates. These estimatorsdo not use explicitly the regenerative structure of the system. Estimators based on infinitesimal perturbation analysis, likelihood ratios, and different kinds of finite-differences are examined. The theoretical results are illustrated via numerical examples.

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  1. Département d'Informatique et de Recherche Opérationnelle, Université de Montréal, C.P. 6128, H3C 3J7, Succ. A, Montréal, Canada

    Pierre L'Ecuyer

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L'Ecuyer, P. Convergence rates for steady-state derivative estimators. Ann Oper Res 39, 121–136 (1992). https://doi.org/10.1007/BF02060938

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