Maximal coupling and rare perturbation sensitivity analysis
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Publication:1206493
DOI10.1007/BF01163859zbMath0776.60080OpenAlexW1536932683MaRDI QIDQ1206493
Publication date: 1 April 1993
Published in: Queueing Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01163859
Point estimation (62F10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)
Related Items (9)
Derivatives of the stochastic growth rate ⋮ Maximal coupling rare perturbation analysis with a random horizon ⋮ Derivative estimation via stochastic intensities: Event averages in queueing systems ⋮ Sensitivity analysis of stationary performance measures for Markov chains ⋮ A perturbation analysis approach to phantom estimators for waiting times in the \(G/G/1\) queue ⋮ Perturbation analysis of inhomogeneous finite Markov chains ⋮ Perturbation analysis of discrete event systems: Concepts, algorithms, and applications ⋮ Perturbation analysis and Malliavin calculus ⋮ Stationary IPA estimates for nonsmooth \(G/G/1/\infty\) functionals via Palm inversion and level-crossing analysis
Cites Work
- On the pathwise computation of derivatives with respect to the rate of a point process: The phantom RPA method
- Bivariate distributions with given marginals
- Coupled Samples in Simulation
- Smoothed (conditional) perturbation analysis of discrete event dynamical systems
- Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue
- Open Queueing Systems in Light Traffic
- A New Estimator of Sensitivity Measures for Simulations Based on Light Traffic Theory
- Uniform rates of convergence for Markov chain transition probabilities
- The limiting value of derivative estimators based on perturbation analysis
- Sensitivity Analysis for Simulations via Likelihood Ratios
- A Useful Convergence Theorem for Probability Distributions
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