Asymptotics of Likelihood Ratio Derivative Estimators in Simulations of Highly Reliable Markovian Systems

DOI10.1287/MNSC.41.3.524zbMath0833.90051OpenAlexW2153441485MaRDI QIDQ4849401

Marvin K. Nakayama

Publication date: 25 September 1995

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/84de28a39879b2d96b74b7166b19ce39a39d2f74

zbMATH Keywords

importance samplinggradient estimationlikelihood ratio methodestimation of derivatives of a performance measuresimulations of highly reliable Markovian systems

Mathematics Subject Classification ID

Reliability, availability, maintenance, inspection in operations research (90B25) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

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