We modify the likelihood-based method for obtaining derivatives with respect to the rate of a Poisson process to that it is not necessary to know the exact value of that rate. This type of modification is necessary if the method is to be used on a sample path from a real system. The method is...

A simple and effective way to exploit parallel processors in discrete event simulations is to run multiple independent replications, in parallel, on multiple processors and to average the results at the end of the runs. We call this the method of parallel replications. This paper is concerned...

This paper describes, analyzes and evaluates an algorithm for estimating portfolio loss probabilities using Monte Carlo simulation.Obtaining accurate estimates of such loss probabilities is essential to calculating value-at-risk, which is a quantile of the loss distribution. The method employs a...

The special structure of regenerative processes is exploited to derive a new point estimate with very low bias for steady state quantities of regenerative simulations. If the simulation run length is t units of tune, the bias of the new estimate is of order 1/t² as opposed to the bias of order...

Infinitesimal Perturbation Analysis (IPA) is a method for computing a sample path derivative with respect to an input parameter in a discrete event simulation. The IPA algorithm is based on the fact that for certain parameters and any realization of a simulation, the change in parameter can be...