Convergence of parameter sensitivity estimates in a stochastic experiment

DOI10.1109/TAC.1985.1104076MaRDI QIDQ3692660zbMATH OpenFDO

Authors Xi-Ren Cao

Publication date 1985

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

Full work available at URL https://doi.org/10.1109/TAC.1985.1104076

zbMATH Keywords

differentiation operatorexpectation operatorgradient estimationparameter sensitivitystochastic optimizationstrong law of large numbers

Mathematics Subject Classification ID

Empirical decision procedures; empirical Bayes procedures (62C12) Stochastic approximation (62L20) Stochastic programming (90C15)

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Cited in

(28)

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• Conditioning for variance reduction in estimating the sensitivity of simulations
• Strong points of weak convergence: A study using RPA gradient estimation for automatic learning
• Unbiased estimates for gradients of stochastic network performance measures
• Infinitesimal perturbation analysis of a queueing system with bursty traffic
• Resource allocation for a stochastic CPM-type network through perturbation analysis
• Using stochastic optimization to determine threshold values for the control of unreliable manufacturing systems
• Second derivative estimation using harmonic analysis
• An operational approach to perturbation analysis of closed queuing networks
• Sensitivity analysis of nonlinear behavior with distorted probability
• Sensitivity estimates based on one realization of a stochastic system†
• Convergence Results for Harmonic Gradient Estimators
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• Forward sensitivity analysis for contracting stochastic systems
• A systematic and efficient simulation scheme for the Greeks of financial derivatives
• scientific article; zbMATH DE number 958364 (Why is no real title available?)
• On the sensitivity of the results of least-squares adjustments concerning the stochastic model
• How to optimize discrete-event systems from a single sample path by the score function method
• Consistency of perturbation analysis for a queue with finite buffer space and loss policy
• Optimal selection of buffers in a tandem finite capacity G/M/1 queueing system
• An infinitesimal perturbation analysis algorithm for a multiclass G/G/1 queue

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