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Convexity of sample path performance and strong consistency of infinitesimal perturbation analysis estimates

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1 Author(s)
Hu, Jian-Qiang ; Div. of Appl. Sci., Harvard Univ., Cambridge, MA, USA

A strong consistency of infinitesimal perturbation analysis (IPA) estimates for a class of stochastic processes satisfying certain convex properties is established. The approach is based on convex analysis of sample paths. Applications of the results to tandem and cyclic queueing systems are discussed. Possible extensions to more general systems are also illustrated

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Automatic Control, IEEE Transactions on  (Volume:37 ,  Issue: 2 )