Derivative Estimates from Simulation of Continuous-Time Markov Chains

DOI10.1287/OPRE.40.2.292MaRDI QIDQ4004738zbMATH OpenOpenAlexFDO

Authors Paul Glasserman

Publication date 27 September 1992

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/ac7e62cbab8e4c174071e05419534424a64706e3

zbMATH Keywords

estimates based on likelihood ratiosinfinitesimal perturbation analysisMarkov chainsmean passage timesperformance measures

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Continuous-time Markov processes on general state spaces (60J25)

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• Sensitivity analysis of stationary performance measures for Markov chains
• Multi-location transshipment problem with capacitated transportation
• Sensitivity analysis of continuous time Bayesian network reliability models
• Two Types ofRG-Factorizations of Quasi-birth-and-death Processes and Their Applications to Stochastic Integral Functionals
• Estimating Derivatives Via Poisson's Equation
• Perturbation analysis of continuous‐time absorbing Markov chains
• Joint coverage probability in a simulation study on continuous-time Markov chain parameter estimation
• A linear algebraic truncation algorithm with a posteriori error bounds for computing Markov chain equilibrium gradients
• Discrete-time ``inversion and derivative estimation for Markov chains

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