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Analytic perturbation analysis of discrete event dynamic systems

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1 Author(s)
S. Uryasev ; Brookhaven Nat. Lab., Upton, NY, USA

This paper considers a new analytic perturbation analysis (APA) approach for discrete event dynamic systems (DEDS) with discontinuous sample-path functions with respect to control parameters. The performance functions for DEDS usually are formulated as mathematical expectations, which can be calculated only numerically. APA is based on new analytic formulas for the gradients of expectations of indicator functions, therefore, it is called an analytic perturbation analysis. The gradient of performance function may not coincide with the expectation of a gradient of sample-path function (i.e., the interchange formula for the gradient and expectation sign may not be valid). Estimates of gradients can be obtained with one simulation run of the models

Published in:

Computer Integrated Manufacturing and Automation Technology, 1994., Proceedings of the Fourth International Conference on

Date of Conference:

10-12 Oct 1994