TY - JOUR
T1 - A harmonic analysis approach to simulation sensitivity analysis
AU - Jacobson, Sheldon H.
AU - Schruben, Lee
PY - 1999/3
Y1 - 1999/3
N2 - Simulation sensitivity analysis is an issue faced by simulation practitioners analyzing complex systems. This paper presents steady-state simulation expected response gradient and Hessian estimators, using harmonic analysis. These estimators exploit the orthogonality of the harmonic basis and require just one simulation run, independent of the number of input parameters. Convergence properties and implementation issues for the estimators are discussed. Examples are included to illustrate the performance of the estimators.
AB - Simulation sensitivity analysis is an issue faced by simulation practitioners analyzing complex systems. This paper presents steady-state simulation expected response gradient and Hessian estimators, using harmonic analysis. These estimators exploit the orthogonality of the harmonic basis and require just one simulation run, independent of the number of input parameters. Convergence properties and implementation issues for the estimators are discussed. Examples are included to illustrate the performance of the estimators.
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U2 - 10.1080/07408179908969823
DO - 10.1080/07408179908969823
M3 - Article
AN - SCOPUS:0032627463
SN - 0740-817X
VL - 31
SP - 231
EP - 243
JO - IIE Transactions (Institute of Industrial Engineers)
JF - IIE Transactions (Institute of Industrial Engineers)
IS - 3
ER -