Optimal mean squared error analysis of the harmonic gradient estimators

Research output: Contribution to journalArticlepeer-review

Abstract

This paper presents a mean squared error analysis of the harmonic gradient estimators for steady-state discrete-event simulation outputs. Optimal mean squared errors for the harmonic gradient estimators are shown to converge to zero as the simulation run length approaches infinity at the same rate as the optimal mean squared errors for the symmetric (two-sided) finite-difference gradient estimator. Implications of this result are discussed.

Original languageEnglish (US)
Pages (from-to)573-590
Number of pages18
JournalJournal of Optimization Theory and Applications
Volume80
Issue number3
DOIs
StatePublished - Mar 1 1994
Externally publishedYes

Keywords

  • Simulation
  • frequency domain methodology
  • gradient estimation
  • harmonic analysis

ASJC Scopus subject areas

  • Control and Optimization
  • Management Science and Operations Research
  • Applied Mathematics

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