A harmonic analysis approach to simulation sensitivity analysis
作者:
SHELDONH. JACOBSON,
LEE SCHRUBEN,
期刊:
IIE Transactions
(Taylor Available online 1999)
卷期:
Volume 31,
issue 3
页码: 231-243
ISSN:0740-817X
年代: 1999
DOI:10.1080/07408179908969823
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
Simulation sensitivity analysis is an issue faced by simulation practitioners analyzing complex systems. This paper presents steady-state simulation expected response gradient and Hessian estimators, using harmonic analysis. These estimators exploit the orthogonality of the harmonic basis and require just one simulation run, independent of the number of input parameters. Convergence properties and implementation issues for the estimators are discussed. Examples are included to illustrate the performance of the estimators.
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