Convergence rates for steady-state derivative estimators

DOI10.1007/BF02060938zbMath0778.93105MaRDI QIDQ1207840

Pierre L'Ecuyer

Publication date: 16 May 1993

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

convergence ratesdiscrete-event systemscomputer simulationsgradient estimatesdiscrete- time Markov model

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Queueing theory (aspects of probability theory) (60K25) Estimation and detection in stochastic control theory (93E10)

Related Items

Efficient stochastic sensitivity analysis of discrete event systems, Optimization via simulation: A review

Cites Work

• Unnamed Item
• Unnamed Item
• How to optimize discrete-event systems from a single sample path by the score function method
• The score function approach for sensitivity analysis of computer simulation models
• Sensitivity analysis and the ``what if problem in simulation analysis
• A Unified View of the IPA, SF, and LR Gradient Estimation Techniques
• Sensitivity estimates based on one realization of a stochastic system†
• Performance evaluation and perturbation analysis of discrete event dynamic systems
• Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue
• A Renewal Theoretic Approach to Bias Reduction in Regenerative Simulations
• Derivative Estimates from Simulation of Continuous-Time Markov Chains
• Convergence Properties of Infinitesimal Perturbation Analysis Estimates
• Sensitivity Analysis for Simulations via Likelihood Ratios
• Smoothed perturbation analysis for a class of discrete-event systems