Groupe d’études et de recherche en analyse des décisions


Convergence Rates for Steady-state Derivative Estimators

We describe different derivative estimators for the case of steady-state performances measures and obtain the order of their convergence rates. These estimators do not use explicitly the regenerative structure of the system. Estimators based on infinitesimal perturbation analysis, Likelihood ratios, and different kinds of finite-differences are examined.

, 14 pages