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Generalized sensitivity analysis of ergodic stochastic systems

โœ Scribed by Joseph Kreimer

Publisher
Elsevier Science
Year
1989
Tongue
English
Weight
818 KB
Volume
31
Category
Article
ISSN
0378-4754

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โœฆ Synopsis

The tools for sensitivity analysis of stochastic systems whose behavior is described by ergodic stationary processes are presented. Three kinds of generalized estimates for performance sensitivities of these systems are introduced.

These estimates, based on a use of time averages, are given in general operator form. Their convergence conditions and rate of convergence are obtained. It is shown that perturbation analysis estimates are generally preferable to crude Monte Carlo estimates.

'[L(u+ Au, 5, t) -+, 5, t>] dt, 'L(u + Au, &, t) -L(u, t2, t) dt.

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