Sensitivity estimates based on one realization of a stochastic system

To estimate the performance sensitivity with respect to a parameter 0 using the Monte Carlo method usually requires two simulations, one for the system with parameter 0 and the other for that with 0 + ▵θ. In this paper, two estimates of the sensitivity based on only one simulation of the system with 0 are investigated. Their properties are compared. The basic results are illustrated through some simple examples.