Likelihood ratio gradient estimation for stochastic recursions

DOI10.2307/1427933MaRDI QIDQ4862096zbMATH OpenOpenAlexFDO

Authors Pierre L'Ecuyer, Peter W. Glynn

Publication date 21 April 1996

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1427933

zbMATH Keywords

estimation of derivativeHarris-recurrent Markov-chainsi.i.d. innovation sequencelikelihood ratio estimatorsnonlinear storage processregenerationseparable metric state spacesimulation based-estimation proceduresstationary distributionstochastic Lyapunov functions

Mathematics Subject Classification ID

Continuity and singularity of induced measures (60G30) Stopping times; optimal stopping problems; gambling theory (60G40) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on discrete state spaces (60J27) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

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• Monte Carlo gradient estimation in machine learning
• On the validity of the Girsanov transformation method for sensitivity analysis of stochastic chemical reaction networks
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• Laws of Large Numbers and Functional Central Limit Theorems for Generalized Semi-Markov Processes
• Density Estimation by Monte Carlo and Quasi-Monte Carlo
• Generalized likelihood ratio method for stochastic models with uniform random numbers as inputs
• A linear algebraic truncation algorithm with a posteriori error bounds for computing Markov chain equilibrium gradients
• Coupling control variates for Markov chain Monte Carlo

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