Generalized estimates for performance sensitivities of stochastic systems
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Three kinds of estimates for performance sensitivities (gradients, Hessians etc.) of stochastic systems are introduced. These estimates are given in general operator form. Their convergence conditions and rate of convergence are presented. Particular attention is given to estimates obtained from a single sample path. Various examples of estimates are considered.
Recommendations
- Estimates of performance sensitivity of a stochastic system
- Generalized sensitivity analysis of ergodic stochastic systems
- Sensitivity estimates based on one realization of a stochastic system†
- Convergence Rates of Finite-Difference Sensitivity Estimates for Stochastic Systems
- scientific article; zbMATH DE number 1836351
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- Generalized estimates for performance sensitivities of stochastic systems
- scientific article; zbMATH DE number 4086905 (Why is no real title available?)
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- Sensitivity estimates based on one realization of a stochastic system†
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Cited in
(11)- Generalized estimates for performance sensitivities of stochastic systems
- Generalized sensitivity analysis of ergodic stochastic systems
- Optimization and sensitivity analysis of computer simulation models by the score function method
- Unbiased estimates for gradients of stochastic network performance measures
- Real-time multiserver and multichannel systems with shortage of maintenance crews.
- Sensitivity estimation for Gaussian systems
- Robust sensitivity analysis for stochastic systems
- Estimates of performance sensitivity of a stochastic system
- Sensitivity estimates based on one realization of a stochastic system†
- Convergence Rates of Finite-Difference Sensitivity Estimates for Stochastic Systems
- Forward sensitivity analysis for contracting stochastic systems
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