Sensitivity analysis of static simulation models of discrete event systems by the local approximation methods

Abstract

We present methods for deriving sensitivities of performance measures for computer simulation models. We show that both the sensitivites and the performance measure can be estimated simultaneously from the same simulation run.The local approximation gives possibilities to reconstract performance measures, considered as regressions given by simulation, and their derivatives in the whole domain of augment values. We study a case when performence is an unspecified regression. We give correct statements on strong uniform convergence and convergence rate of the suggested estimates. These statements may be applied to decide some optimization and sensitivity analysis problems.