Performance extrapolation in discrete-event systems simulation. (English) Zbl 0861.93036
Let \(f(y,v_0)\) be a density function that depends on \(v_0\). Consider the steady-state expected systems performance \(J(v_0)= \int L(y)f(y,v_0)dy\). A method to estimate the performance for several scenarios using a single simulation run based on the efficient score function is developed. The paper contains results of numerical experiments.
Reviewer: W.Grecksch (Halle)
Keywords:
Monte Carlo method; simultaneous computation; approximation; simulation; efficient score functionReferences:
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