A Perturbation Analysis Approach to Phantom Estimators for Waiting Times in the G/G/1 Queue

作者：Heidergott Bernd^*; Farenhorst Yuan Taoying; Vazquez Abad Felisa

来源：Discrete Event Dynamic Systems, 2010, 20(2): 249-273.

DOI：10.1007/s10626-009-0066-7

• Gradient estimation
• Infinitesimal perturbation analysis
• Weak derivatives
• Waiting times

We study gradient estimation for waiting times in the G/G/1 queue. We propose a new estimator based on a synthesis of perturbation analysis and weak differentiation. More specifically, we combine the perturbation propagation rules from perturbation analysis with perturbation generation rules from weak differentiation. This leads to an on-line phantom estimator. Numerical experiments show that this estimator has smaller work normalized variance than IPA.

• 出版日期2010-5