Estimation of the derivative of a stationary measure with respect to a control parameter

DOI10.2307/3214571MaRDI QIDQ4018327zbMATH OpenOpenAlexFDO

Authors Felisa J. Vázquez-Abad, Harold J. Kushner

Publication date 16 January 1993

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

Full work available at URL https://doi.org/10.2307/3214571

zbMATH Keywords

derivativeergodic Markov chainfinite signed measureinvariant measureRadon-Nikodym derivativestightnesstransition function

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Parametric inference (62F99) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

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• Estimating Derivatives Via Poisson's Equation
• The limiting value of derivative estimators based on perturbation analysis
• Newton-based stochastic optimization using \(q\)-Gaussian smoothed functional algorithms
• Forward sensitivity analysis for contracting stochastic systems
• Quasi-Newton smoothed functional algorithms for unconstrained and constrained simulation optimization
• Smoothed functional algorithms for stochastic optimization using q-Gaussian distributions
• Strong bounds on perturbations

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