Two classes of stochastic networks and their performance measures are considered. These performance measures are defined as the expected value of some random variables and cannot normally be obtained analytically as functions of network parameters. We give similar representations for the random variables to provide a useful way of analytical study of these functions and their gradients. The representations are used to obtain sufficient conditions for the gradient estimates to be unbiased. The conditions are rather general and usually met in simulation of the stochastic networks. Applications of the results are discussed and some practical algorithms of calculating unbiased estimates of the gradients are also presented.
|Title of host publication||Model-oriented data analysis: Proceedings of the 3rd international workshop in Petrodvorets, Russia, May 25-30, 1992|
|Publication status||Published - 1993|
Scopus subject areas
- Modelling and Simulation
- Management Science and Operations Research
- Statistics, Probability and Uncertainty