A single sample path-based performance sensitivity formula for Markov chains

DOI10.1109/9.545747MaRDI QIDQ3124468zbMATH OpenOpenAlexFDO

Authors Cao, Xiren, Xue-Ming Yuan, Li Qiu

Publication date 1996

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

Full work available at URL https://doi.org/10.1109/9.545747

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Stochastic systems in control theory (general) (93E03)

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Cited in

(11)

• Basic ideas for event-based optimization of Markov systems
• A unified approach to Markov decision problems and performance sensitivity analysis
• The control of a two-level Markov decision process by time aggregation
• Sensitivity analysis of continuous time Bayesian network reliability models
• An overview for Markov decision processes in queues and networks
• The Maclaurin series for performance functions of Markov chains
• Performance optimization of queueing systems with perturbation realization
• Single sample path-based sensitivity analysis of Markov processes using uniformization
• Perturbation analysis of continuous‐time absorbing Markov chains
• AN IMPROVEMENT OF MARKOVIAN INTEGRATION BY PARTS FORMULA AND APPLICATION TO SENSITIVITY COMPUTATION
• Stochastic control via direct comparison

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