scientific article; zbMATH DE number 125279

MaRDI QIDQ4026974zbMATH OpenFDO

Authors Pierre L'Ecuyer, Nataly Giroux, Peter W. Glynn

Publication date 21 February 1993

zbMATH Keywords

infinitesimal perturbation analysislikelihood ratio methodsingle-run optimizationstochastic approximation algorithms

Mathematics Subject Classification ID

Markov processes (60J99) Markov and semi-Markov decision processes (90C40) Stochastic systems in control theory (general) (93E03)

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(9)

• On performance potentials and conditional Monte Carlo for gradient estimation for Markov chains
• A Unified View of the IPA, SF, and LR Gradient Estimation Techniques
• Performance gradient estimation for the very large finite Markov chains
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• Stochastic Optimization by Simulation: Numerical Experiments with the M/M/1 Queue in Steady-State
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• Likelihood ratio gradient estimation for stochastic recursions
• A Markov Chain Theory Approach to Characterizing the Minimax Optimality of Stochastic Gradient Descent (for Least Squares)
• On comparison of steady-state infinitesimal perturbation analysis and likelihood ratio derivative estimates

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