Analytic perturbation analysis of discrete event dynamic systems'

Stanislav Uryasev

doi:10.1109/CIMAT.1994.389042

Analytic perturbation analysis of discrete event dynamic systems'

Stanislav Uryasev

Applied Mathematics and Statistics

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

3 Scopus citations

Abstract

This paper considers a new Analytic Perturbation Analysis (APA) approach for Discrete Event Dynamic Systems (DEDS) with discontinuous sample-path functions with respect to control parameters. The performance functions for DEDS usually are formulated as mathematical expectataons, which can be calculated only numerically. APA is based on new analytic formulas for the gradients of expectations of indicator functions; therefore, it is called an analytic perturbation analysis. The gradient of performance function may not coincide with the expectation o,f a gradient of sample-path function (i.e., the interchange formula for the gradient and expectation sign may not be valid). Estimates of gradients can be obtained with one simulataon run of the models.

Original language	English
Title of host publication	Proceedings of the 4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	397-402
Number of pages	6
ISBN (Electronic)	0818665106, 9780818665103
DOIs	https://doi.org/10.1109/CIMAT.1994.389042
State	Published - 1994
Event	4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994 - Troy, United States Duration: Oct 10 1994 → Oct 12 1994

Publication series

Name	Proceedings of the 4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994

Conference

Conference	4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994
Country/Territory	United States
City	Troy
Period	10/10/94 → 10/12/94

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10.1109/CIMAT.1994.389042

Cite this

Uryasev, S. (1994). Analytic perturbation analysis of discrete event dynamic systems'. In Proceedings of the 4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994 (pp. 397-402). Article 389042 (Proceedings of the 4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/CIMAT.1994.389042

Uryasev, Stanislav. / Analytic perturbation analysis of discrete event dynamic systems'. Proceedings of the 4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994. Institute of Electrical and Electronics Engineers Inc., 1994. pp. 397-402 (Proceedings of the 4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994).

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title = "Analytic perturbation analysis of discrete event dynamic systems'",

abstract = "This paper considers a new Analytic Perturbation Analysis (APA) approach for Discrete Event Dynamic Systems (DEDS) with discontinuous sample-path functions with respect to control parameters. The performance functions for DEDS usually are formulated as mathematical expectataons, which can be calculated only numerically. APA is based on new analytic formulas for the gradients of expectations of indicator functions; therefore, it is called an analytic perturbation analysis. The gradient of performance function may not coincide with the expectation o,f a gradient of sample-path function (i.e., the interchange formula for the gradient and expectation sign may not be valid). Estimates of gradients can be obtained with one simulataon run of the models.",

author = "Stanislav Uryasev",

note = "Publisher Copyright: {\textcopyright} U S . Governmentwork not protected by U S . Copyright; 4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994 ; Conference date: 10-10-1994 Through 12-10-1994",

year = "1994",

doi = "10.1109/CIMAT.1994.389042",

language = "English",

series = "Proceedings of the 4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

pages = "397--402",

booktitle = "Proceedings of the 4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994",

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Uryasev, S 1994, Analytic perturbation analysis of discrete event dynamic systems'. in Proceedings of the 4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994., 389042, Proceedings of the 4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994, Institute of Electrical and Electronics Engineers Inc., pp. 397-402, 4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994, Troy, United States, 10/10/94. https://doi.org/10.1109/CIMAT.1994.389042

Analytic perturbation analysis of discrete event dynamic systems'. / Uryasev, Stanislav.
Proceedings of the 4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994. Institute of Electrical and Electronics Engineers Inc., 1994. p. 397-402 389042 (Proceedings of the 4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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N1 - Publisher Copyright: © U S . Governmentwork not protected by U S . Copyright

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N2 - This paper considers a new Analytic Perturbation Analysis (APA) approach for Discrete Event Dynamic Systems (DEDS) with discontinuous sample-path functions with respect to control parameters. The performance functions for DEDS usually are formulated as mathematical expectataons, which can be calculated only numerically. APA is based on new analytic formulas for the gradients of expectations of indicator functions; therefore, it is called an analytic perturbation analysis. The gradient of performance function may not coincide with the expectation o,f a gradient of sample-path function (i.e., the interchange formula for the gradient and expectation sign may not be valid). Estimates of gradients can be obtained with one simulataon run of the models.

AB - This paper considers a new Analytic Perturbation Analysis (APA) approach for Discrete Event Dynamic Systems (DEDS) with discontinuous sample-path functions with respect to control parameters. The performance functions for DEDS usually are formulated as mathematical expectataons, which can be calculated only numerically. APA is based on new analytic formulas for the gradients of expectations of indicator functions; therefore, it is called an analytic perturbation analysis. The gradient of performance function may not coincide with the expectation o,f a gradient of sample-path function (i.e., the interchange formula for the gradient and expectation sign may not be valid). Estimates of gradients can be obtained with one simulataon run of the models.

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U2 - 10.1109/CIMAT.1994.389042

DO - 10.1109/CIMAT.1994.389042

M3 - Conference contribution

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BT - Proceedings of the 4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994

PB - Institute of Electrical and Electronics Engineers Inc.

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Uryasev S. Analytic perturbation analysis of discrete event dynamic systems'. In Proceedings of the 4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994. Institute of Electrical and Electronics Engineers Inc. 1994. p. 397-402. 389042. (Proceedings of the 4th International Conference on Computer Integrated Manufacturing and Automation Technology, CIMAT 1994). doi: 10.1109/CIMAT.1994.389042

Analytic perturbation analysis of discrete event dynamic systems'

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