scientific article; zbMATH DE number 4038959

MaRDI QIDQ3777192zbMATH OpenFDO

Authors Peter W. Glynn

Publication date 1987

zbMATH Keywords

Monte Carlo estimatorparametric statistical theory for Markov processessensitivity of a steady-state cost

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

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(14)

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• Exact formula for sensitivity analysis of Markov chains
• A simplified matrix formulation for sensitivity analysis of hidden Markov models
• Sensitivity of finite Markov chains under perturbation
• Sensitivity analysis of stationary performance measures for Markov chains
• Measure-valued differentiation for random horizon problems
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• Data uncertainty in Markov chains: application to cost-effectiveness analyses of medical innovations
• Likelihood ratio gradient estimation for steady-state parameters
• Forward sensitivity analysis for contracting stochastic systems
• Efficient sensitivity analysis for parametric robust Markov chains

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