Likelihood ratio gradient estimation for stochastic recursions

DOI10.2307/1427933zbMATH Open0835.62071OpenAlexW2050941272MaRDI QIDQ4862096FDOQ4862096

Authors: Pierre L'Ecuyer, Peter W. Glynn 

Publication date: 21 April 1996

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427933

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zbMATH Keywords

regenerationstationary distributionstochastic Lyapunov functionsseparable metric state spacelikelihood ratio estimatorsestimation of derivativeHarris-recurrent Markov-chainsi.i.d. innovation sequencenonlinear storage processsimulation based-estimation procedures

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40) Continuous-time Markov processes on discrete state spaces (60J27) Continuity and singularity of induced measures (60G30)

Cited In (24)

• Monte Carlo gradient estimation in machine learning
• Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
• Nonexistence of a class of variate generation schemes.
• Density Estimation by Monte Carlo and Quasi-Monte Carlo
• Likelihood-look-ahead inference on the equilibrium distribution of Markov chains
• Estimation of the derivative of a stationary measure with respect to a control parameter
• Markov models for digraph panel data: Monte Carlo-based derivative estimation
• On the validity of the Girsanov transformation method for sensitivity analysis of stochastic chemical reaction networks
• Coupling control variates for Markov chain Monte Carlo
• Laws of Large Numbers and Functional Central Limit Theorems for Generalized Semi-Markov Processes
• Single sample path-based optimization of Markov chains
• Monte Carlo methods for derivatives of options with discontinuous payoffs
• Likelihood ratio gradient estimation for steady-state parameters
• Estimation Methods for Delays in Non-regenerative Discrete-Event Systems
• Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient
• Likelihood Ratio Sensitivity Analysis for Markovian Models of Highly Dependable Systems
• Smoothing complements and randomized score functions
• Gradient of the log-likelihood ratio for infinite-dimensional stochastic systems
• Perturbation analysis of waiting times in the G/G/1 queue
• Measure-Valued Differentiation for Stationary Markov Chains
• A perturbation analysis of Markov chains models with time-varying parameters
• Title not available (Why is that?)
• Title not available (Why is that?)
• Note: On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators

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