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Application of smoothed perturbation analysis to probabilistic routing

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  • Gong, Wei-Bo
  • Schulzrinne, Henning

Abstract

The on-line estimation of derivatives is of fundamental importance in gradient-based routing algorithm for data networks and other applications. Smoothed perturbation analysis as proposed in this paper requires minimal knowledge about the system statistics. It is shown that smoothed perturbation analysis provides asymptotically unbiased estimates of derivatives. We determine bias and variance of the estimate experimentally and compare them to those of a likelihood ratio estimator.

Suggested Citation

  • Gong, Wei-Bo & Schulzrinne, Henning, 1992. "Application of smoothed perturbation analysis to probabilistic routing," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 34(5), pages 467-485.
    • Handle: RePEc:eee:matcom:v:34:y:1992:i:5:p:467-485
    DOI: 10.1016/0378-4754(92)90078-U
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    References listed on IDEAS

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    1. Philip Heidelberger & Don Towsley, 1989. "Sensitivity Analysis from Sample Paths Using Likelihoods," Management Science, INFORMS, vol. 35(12), pages 1475-1488, December.
    2. Reuven Y. Rubinstein, 1989. "Sensitivity Analysis and Performance Extrapolation for Computer Simulation Models," Operations Research, INFORMS, vol. 37(1), pages 72-81, February.
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