DOI10.1109/TAC.1987.1104464zbMath0634.93076OpenAlexW1977417413MaRDI QIDQ3773805
Wei-Bo Gong, Yu-Chi Ho
Publication date: 1987
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/tac.1987.1104464
Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions,
Uniformization based sensitivity estimation for a class of discrete-event systems,
Variance and bias reduction techniques for the harmonic gradient estimator,
Smoothed perturbation analysis derivative estimation for Markov chains,
Two approaches to optimal routing and admission control in systems with real-time traffic,
Comparison of gradient estimation techniques for queues with non- identical servers,
Importance Sampling for Option Greeks with Discontinuous Payoffs,
Derivative estimation via stochastic intensities: Event averages in queueing systems,
Scheduling policies using marked/phantom slot algorithms,
Generalized estimates for performance sensitivities of stochastic systems,
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Performance regulation in discrete event and hybrid dynamical systems using IPA,
Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning,
Uniformization and performance sensitivity estimation in closed queueing networks,
Sensitivity analysis of stationary performance measures for Markov chains,
Message batching in wireless sensor networks -- a perturbation analysis approach,
Copula sensitivity analysis for portfolio credit derivatives,
Performance optimization of queueing systems with perturbation realization,
An infinitesimal perturbation analysis algorithm for a multiclass G/G/1 queue,
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A new method of performance sensitivity analysis for non-Markovian queueing networks,
On the pathwise computation of derivatives with respect to the rate of a point process: The phantom RPA method,
Full-state perturbation analysis of discrete event dynamic systems,
Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation,
Bias properties of infinitesimal perturbation analysis for systems with parallel servers,
Smoothed perturbation analysis for queues with finite buffers,
Augmented infinitesimal perturbation analysis: An alternate explanation,
Policy iteration for customer-average performance optimization of closed queueing systems,
Maximal coupling and rare perturbation sensitivity analysis,
Smoothing complements and randomized score functions,
Gradient estimates for the performance of Markov chains and discrete event processes,
Smoothed perturbation analysis algorithms for estimating the derivatives of occupancy-related functions in serial queueing networks,
Sensitivity estimates for portfolio credit derivatives using Monte Carlo,
Stochastic approximation algorithms: overview and recent trends.,
What you should know about simulation and derivatives,
Service rate control of closed Jackson networks from game theoretic perspective,
Sensitivity Analysis for Monte Carlo Simulation of Option Pricing,
Perturbation analysis of inhomogeneous finite Markov chains,
Optimization via simulation: A review,
Stochastic gradient-based time-cost tradeoffs in PERT networks using simulation,
A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters,
Perturbation analysis of discrete event systems: Concepts, algorithms, and applications,
Sensitivity calculation of the throughput of an FMS with rspect to the routing mix using perturbation analysis,
On derivative estimation of single-server queues via structural infinitesimal perturbation analysis,
Stationary IPA estimates for nonsmooth \(G/G/1/\infty\) functionals via Palm inversion and level-crossing analysis,
Consistency of infinitesimal perturbation analysis for the GI/G/m queue,
Robustness of perturbation analysis estimators for queueing systems with unknown distributions