Abstract
Perturbation analysis is an efficient method to compute parameter sensitivities for discrete event systems. This paper considers a simple multi-class finite source queue which models a computer system with multi-type programs. It is shown that first-order analysis is needed. Detailed discussions on the example system reveal the main features of multi-class queueing networks. An algorithm based on first-order analysis is proposed. This algorithm yields an asymptotically unbiased estimate of the sensitivity for the example system based on only one sample path of the system. The accuracy of first-order perturbation analysis for general queueing networks is also discussed.
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