Likelihood Ratio Sensitivity Analysis for Markovian Models of Highly Dependable Systems

DOI10.1287/OPRE.42.1.137MaRDI QIDQ4287607zbMATH OpenOpenAlexFDO

Authors Marvin K. Nakayama, Ambuj Goyal, Peter W. Glynn

Publication date 12 April 1994

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/164ad28182c9e28240ffa0295b2850065d8833cb

zbMATH Keywords

continuous-time Markov chainslikelihood ratio gradient estimator

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Operations research and management science (90B99)

Recommendations

• Asymptotics of Likelihood Ratio Derivative Estimators in Simulations of Highly Reliable Markovian Systems
• Sensitivity analysis of stationary performance measures for Markov chains
• Sensitivity Analysis for Simulations via Likelihood Ratios
• Improvements in the likelihood ratio method for steady-state sensitivity analysis and simulation
• Likelihood ratio gradient estimation for stochastic recursions

Cited in

(3)

• Sensitivity analysis of continuous time Bayesian network reliability models
• Improvements in the likelihood ratio method for steady-state sensitivity analysis and simulation
• Efficient computation of Sobol' indices for stochastic models

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