Perturbation analysis explained

Perturbation analysis (PA) is a technique for the computation of the gradient of the performance measure (PM) of a discrete-event dynamic system with respect to its parameters ( theta ) using only sample path or Monte Carlo experiment of the system. A pertinent question is considered, namely, how it is possible to obtain information about a trajectory/sample path operating under one value of the system parameter from that of one operating under a different value when the two trajectories behave entirely dissimilarly. A conceptual explanation is offered in terms of two basic ideas in random variable generation. A simple example of perturbation analysis is given which illustrates the result.<
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