Infinitesimal Perturbation Analysis: A Tool for Simulation

Abstract

Perturbation analysis is a technique that expedites the process of performing experiments on discrete-event simulation models. This makes it possible to derive sensitivity estimates from one computer execution of a simulation model. Infinitesimal perturbation analysis (IPA) is one class of algorithms used in perturbation analysis. In this paper, the techniques and algorithms used in simulation to perform infinitesimal perturbation analysis are examined. Each algorithm is discussed in detail, with comments concerning implementation problems and examples with experimental results for serial transfer lines. The results of this paper show that for simple systems, IPA can be easily implemented in a general-purpose simulation language such as SIMAN. Unfortunately, for any given system, parameter or performance measure, the algorithm used to generate the gradient may vary. Additionally, algorithms for more complex classes of problems do not yet exist. This problem hampers the current possibility of incorporating IPA into general-purpose simulation languages.

Keywords:

• experimentation
• gradient estimation
• simulation