Note---Pathwise Convexity and its Relation to Convergence of Time-Average Derivatives

In this note, we further develop the pathwise convexity approach introduced by Hu (1991) to prove consistency of infinitesimal perturbation analysis for the derivative of the steady-state waiting time of the G/G/1 queue. In addition to generalizing the argument, we illustrate the technique with applications to stochastic storage theory and networks of queues.

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Year of publication:	1992
Authors:	Glynn, Peter W.
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 38.1992, 9, p. 1360-1366
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	convexity \| infinitesimal perturbation analysis \| derivatives \| steady-state

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.38.9.1360 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009214864