Likelihood Ratio Sensitivity Analysis for Markovian Models of Highly Dependable Systems

DOI10.1287/opre.42.1.137zbMath0798.90095OpenAlexW2018568989MaRDI QIDQ4287607

Ambuj Goyal, Marvin K. Nakayama, Peter W. Glynn

Publication date: 12 April 1994

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/164ad28182c9e28240ffa0295b2850065d8833cb

zbMATH Keywords

continuous-time Markov chainslikelihood ratio gradient estimator

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Operations research and management science (90B99)

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