Sensitivity Analysis Via Likelihood Ratios

We present a new method of obtaining derivatives of expectations with respect to various parameters. For example, if Lambda is the rate of a Poisson process, NT is the number of sample path (e.g. a performance measure in a queuing network), then we show that which yields an obvious algorithm. We have proven that the method works for a wide class of parameters and performance measures in regenerative simulation. We also report on the method's limitations and on some numerical experiments.