Sensitivity Analysis and Performance Extrapolation for Computer Simulation Models
Sensitivity Analysis and Performance Extrapolation for Computer Simulation Models
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DOI：
10.1287/opre.37.1.72
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发表时间：
1989-05
期刊：
影响因子：
--
通讯作者：
R. Rubinstein
中科院分区：
文献类型：
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作者：
R. Rubinstein
我们提出一种用于推导计算机模拟模型性能度量的敏感度的方法。我们表明，敏感度（导数、梯度、黑塞矩阵等）和性能度量可以从同一模拟中同时进行估计。我们的方法基于从有效得分导出的概率测度变换。我们还提出了一种相当通用的程序，从该程序来看，摄动分析和我们的方法可视为特殊情况。给出了在可靠性模型和随机最短路径网络中的应用。
We present a method for deriving sensitivities of performance measures for computer simulation models. We show that both the sensitivities (derivatives, gradients, Hessians, etc.) and the performance measure can be estimated simultaneously from the same simulation. Our method is based on probability measure transformations derived from the efficient score. We also present a rather general procedure from which perturbation analysis and our method can be viewed as particular cases. Applications to reliability models and stochastic shortest path networks are given.