SAMPLE PATH DERIVATIVES FOR (S, S) INVENTORY SYSTEMS
成果类型：
Article
署名作者：
FU, MC
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.42.2.351
发表日期：
1994
页码：
351-364
关键词：
摘要：
For (s, S) inventory systems, we derive sample path derivatives of performance measures with respect to the two Parameters s and S. These derivatives yield derivative estimators which can be estimated from a single sample path or simulation of the inventory system, in some cases not even requiring actual knowledge of the underlying demand distribution. Such derivative estimates would be useful in sensitivity analysis or in gradient-based optimization techniques. We consider the nondiscounted periodic review system with general independent and identically distributed (i.i.d.) continuous demands, full backlogging, and general holding and shortage costs. For the infinite horizon model. consistency proofs are given for some special cases, although we argue why the estimators should be correct for the more general case.