Steady-State Sensitivity Analysis of Continuous Time Markov Chains

DOI10.1137/18M119402XzbMath1415.65012arXiv1804.00585OpenAlexW2964072743MaRDI QIDQ4620320

Petr Plecháč, Ting Wang

Publication date: 8 February 2019

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.00585

zbMATH Keywords

Poisson equationvariance reductionstochastic simulationstochastic reaction networkscontinuous time Markov chainslikelihood ratio methodsteady-state sensitivity

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (2)

Sensitivity of Steady States in Networks with Application to Markov Chains and Chemical Reaction Networks ⋮ Convergence of the likelihood ratio method for linear response of non-equilibrium stationary states

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