On using perturbation analysis to do sensitivity analysis: derivatives vs. differences

One use of perturbation analysis is to compute the derivative of a performance measure P with respect to a parameter theta for use in iterative optimization schemes to locate local maxima by driving the derivative to zero. It has been pointed out that in stochastic approximation contexts, there is an advantage in using derivatives as opposed to differences. Another use of perturbation analysis is just to do a sensitivity analysis with respect to a parameter without relation to any optimization. For sensitivity analysis, advantages in using differences rather than derivatives is pointed out. For this use of differences, three simulation evaluations are needed. This motivates the use of noninfinitesimal perturbation analysis (or other techniques) whereby perturbation information can be obtained from a single run.< <ETX xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">></ETX>