Pathwise Convexity and Its Relation to Convergence of Time-Average Derivatives

Abstract

In this note, we further develop the pathwise convexity approach introduced by Hu (1990) to prove consistency of infinitesimal perturbation analysis for the derivative of the steady-state waiting time of the G/G/I queue. In addition to generalizing the argument, we illustrate the technique with applications to stochastic storage theory and networks of queues. Keywords: Convexity, infinitesimal perturbation analysis, derivatives, steady-state.

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Jul 01, 1990
Accession Number
ADA228888

Entities

People

  • Peter W. Glynn

Organizations

  • Stanford University

Tags

Communities of Interest

  • Energy and Power Technologies
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Consistency
  • Estimators
  • Markov Chains
  • Markov Processes
  • Numbers
  • Operations Research
  • Perturbations
  • Probability
  • Random Variables
  • Sequences
  • Stationary Processes
  • Steady State
  • Stochastic Processes
  • United States
  • United States Government

Fields of Study

  • Mathematics

Readers

  • Calculus or Mathematical Analysis
  • Mathematical Modeling and Probability Theory.