Maximal coupling and rare perturbation sensitivity analysis (Q1206493)

The goal of sensitivity analysis is to estimate the derivative \({d\over d\theta}E_ \theta[\psi_ \theta]\) of a given performance index \(E_ \theta[\psi_ \theta]\) relative to some discrete event dynamical system with respect to a parameter \(\theta\). The author proposes to call exact perturbation analysis any estimation procedure based on a formula of the type \({d\over d\theta}E_ \theta[\psi_ \theta]=E_ \theta[\varphi_ \theta]\), and to call \(\varphi_ \theta\) the ersatz-derivative of \(\psi_ \theta\), provided that, in some sense, the computation of \(\varphi_ \theta\) is via some perturbation arguments. He proposes a new method for obtaining such ersatz-derivatives, which he calls infinitesimal maximal coupling RPA (Rare Perturbation Analysis). This method is based on maximally coupled sequences as introduced and studied by \textit{L. Devroye} [Oper. Res. 38, No. 1, 115-126 (1990; Zbl 0704.65003)]. The new method is compared to existing ones, and its implementation is studied. Besides, a new proof is given for Devroye's maximal coupling result.