On comparison of steady-state infinitesimal perturbation analysis and likelihood ratio derivative estimates

DOI10.1007/s10626-022-00370-8zbMath1529.93100OpenAlexW4377822894MaRDI QIDQ6080669

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Publication date: 4 October 2023

Published in: Discrete Event Dynamic Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10626-022-00370-8

zbMATH Keywords

likelihood ratiovarianceinfinitesimal perturbation analysisM/M/1 queue

Mathematics Subject Classification ID

Perturbations in control/observation systems (93C73) Estimation and detection in stochastic control theory (93E10)

Cites Work

• Variance properties of sample path derivatives of parametric random variables
• Sensitivity estimation for Gaussian systems
• Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient
• Strongly Consistent Steady-State Derivative Estimates
• Introduction to Discrete Event Systems
• Sensitivity Analysis for Simulations via Likelihood Ratios
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