TY - JOUR
AU1 - Hu, Jian-Qiang
AU2 - Lian, Teng
AB - In this paper, we compare the infinitesimal perturbation analysis (IPA) and likelihood ratio (LR) derivative estimators for the steady-state system time of the M/M/1 queue. We derive the explicit formulas for the variances of both estimators. We then show IPA has smaller variance, which is often considered as a rule-of-thumb in the simulation literature. This is the first theoretical result that proves IPA has smaller variance than LR for steady-state performance measures.
TI - On comparison of steady-state infinitesimal perturbation analysis and likelihood ratio derivative estimates
JF - Discrete Event Dynamic Systems
DO - 10.1007/s10626-022-00370-8
DA - 2023-06-01
UR - https://www.deepdyve.com/lp/springer-journals/on-comparison-of-steady-state-infinitesimal-perturbation-analysis-and-hJejGnoGU9
SP - 95
EP - 104
VL - 33
IS - 2
DP - DeepDyve
ER -