Gradient estimates for the performance of Markov chains and discrete event processes

DOI10.1007/BF02060941zbMath0766.60088WikidataQ59255181 ScholiaQ59255181MaRDI QIDQ1207844

S. Singh

Publication date: 16 May 1993

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

stationary distributionsscore methodstationary performanceunique stationary measure

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov renewal processes, semi-Markov processes (60K15) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (7)

Maximal coupling rare perturbation analysis with a random horizon ⋮ Gradient estimation for smooth stopping criteria ⋮ A perturbation analysis of Markov chains models with time-varying parameters ⋮ Perturbation analysis for denumerable Markov chains with application to queueing models ⋮ A simultaneous perturbation weak derivative estimator for stochastic neural networks ⋮ Forward sensitivity analysis for contracting stochastic systems ⋮ Optimization of computer simulation models with rare events

Cites Work

• Unnamed Item
• Unnamed Item
• Théorèmes de convergence presque sure pour une classe d'algorithmes stochastiques à pas decroissant
• The score function approach for sensitivity analysis of computer simulation models
• Simulation methods of queues: An overview
• Perturbation analysis and optimization of queueing networks
• Stochastic quasigradient methods for optimization of discrete event systems
• Stochastic approximation methods for constrained and unconstrained systems
• On-Line Optimization of Simulated Markovian Processes
• The Monge–Kantorovich Mass Transference Problem and Its Stochastic Applications
• Smoothed (conditional) perturbation analysis of discrete event dynamical systems

This page was built for publication: Gradient estimates for the performance of Markov chains and discrete event processes