Single-Run Gradient Estimation Via Measure-Valued Differentiation

DOI10.1109/TAC.2004.835588zbMath1365.62329MaRDI QIDQ5273908

Arie Hordijk, Bernd F. Heidergott

Publication date: 12 July 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Abstract differentiation theory, differentiation of set functions (28A15)

Related Items (5)

Strong bounds on perturbations ⋮ A perturbation analysis approach to phantom estimators for waiting times in the \(G/G/1\) queue ⋮ Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation ⋮ Measure-valued differentiation for Markov chains ⋮ Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation

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