Infinitesimal perturbation analysis of discrete event dynamic systems: A general theory

Abstract

We give a rigorous extension of the perturbation analysis approach to more general Discrete Event Dynamic Systems (DEDS). For a fairly general class of DEDS, and for certain parameters and performance measures of such DEDS, an infinitesimal perturbation analysis algorithm is stated. It is then proved that this algorithm gives exact values for the gradients of performance w.r.t. the parameters, by observing only one sample-path of the DEDS. This enables very efficient calculation of these gradients: a fact that can be used for design/operation of manufacturing systems, communication networks, and many other real-world systems.