Sensitivity Analysis and Performance Extrapolation for Computer Simulation Models

We present a method for deriving sensitivities of performance measures for computer simulation models. We show that both the sensitivities (derivatives, gradients, Hessians, etc.) and the performance measure can be estimated simultaneously from the same simulation. Our method is based on probability measure transformations derived from the efficient score. We also present a rather general procedure from which perturbation analysis and our method can be viewed as particular cases. Applications to reliability models and stochastic shortest path networks are given.