Discrete-time ``inversion and derivative estimation for Markov chains

DOI10.1016/0167-6377(90)90024-YzbMath0711.60073OpenAlexW1987121160MaRDI QIDQ923516

Paul Glasserman

Publication date: 1990

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6377(90)90024-y

zbMATH Keywords

simulationlikelihood ratioperturbation analysiscontinuous-time Markov chainsgradient estimationembedded discrete-time chain

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (2)

Smoothing complements and randomized score functions ⋮ Estimating Derivatives Via Poisson's Equation

Cites Work

• Discrete-time conversion for simulating semi-Markov processes
• Discrete-Time Conversion for Simulating Finite-Horizon Markov Processes
• Discrete time methods for simulating continuous time Markov chains
• Sensitivity Analysis for Simulations via Likelihood Ratios
• Convergence of stochastic processes

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