Sensitivity analysis and the "what if" problem in simulation analysis

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Abstract

We discuss some known and some new results on the score function (SF) approach for simulation analysis. We show that while simulating a single sample path from the underlying system or from an associated system and applying the Radon-Nikodym measure one can: estimate the performance sensitivities (gradient, Hessian etc.) of the underlying system with respect to some parameter (vector of parameters); extrapolate the performance measure for different values of the parameters; evaluate the performance measures of queuing models working in heavy traffic by simulating an associated (auxiliary) queuing model working in light (lighter) traffic; evaluate the performance measures of stochastic models while simulating random vectors (say, by the inverse transform method) from an auxiliary probability density function rather than from the original one (say by the acceptance-rejection method). Applications of the SF approach to a broad variety of stochastic models are given. © 1989.

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Arsham, H., Feuerverger, A., McLeish, D. L., Kreimer, J., & Rubinstein, R. Y. (1989). Sensitivity analysis and the “what if” problem in simulation analysis. Mathematical and Computer Modelling, 12(2), 193–219. https://doi.org/10.1016/0895-7177(89)90434-2

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