Extensions and generalizations of smoothed perturbation analysis in a generalized semi-Markov process framework

DOI10.1109/9.256367MaRDI QIDQ4030729zbMATH OpenOpenAlexFDO

Authors Michael C. Fu, Jian-Qiang Hu

Publication date 1 April 1993

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/9.256367

zbMATH Keywords

perturbation analysisgeneralized semi-Markov processderivatives of performance measures of discrete- event systems

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Markov renewal processes, semi-Markov processes (60K15)

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Cited in

(18)

• On the pathwise computation of derivatives with respect to the rate of a point process: The phantom RPA method
• Sensitivity analysis for Monte Carlo simulation of option pricing
• Smoothed perturbation analysis for queues with finite buffers
• Smoothed (conditional) perturbation analysis of discrete event dynamical systems
• RPA pathwise derivative estimation of ruin probabilities
• Comparison of gradient estimation techniques for queues with non- identical servers
• Derivative estimation via stochastic intensities: Event averages in queueing systems
• Estimation of Derivatives of Nonsmooth Performance Measures in Regenerative Systems
• Optimization via simulation: A review
• Stationary IPA estimates for nonsmooth \(G/G/1/\infty\) functionals via Palm inversion and level-crossing analysis
• Smoothed perturbation analysis derivative estimation for Markov chains
• On using continuous flow lines to model discrete production lines
• Uniformization based sensitivity estimation for a class of discrete-event systems
• Smoothed perturbation analysis for a class of piecewise constant sample performance functions
• Smoothing complements and randomized score functions
• Appointment scheduling and real-time sequencing strategies for patient unpunctuality
• On derivative estimation of single-server queues via structural infinitesimal perturbation analysis
• Stochastic gradient-based time-cost tradeoffs in PERT networks using simulation

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