Likelihood Ratio Gradient Estimation for Steady-State Parameters

DOI10.1287/stsy.2018.0023zbMath1435.60051arXiv1707.02659OpenAlexW2963160669WikidataQ127733366 ScholiaQ127733366MaRDI QIDQ5113892

Mariana Olvera-Cravioto, Peter W. Glynn

Publication date: 18 June 2020

Published in: Stochastic Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.02659

zbMATH Keywords

simulationlikelihood ratiogradient estimation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Functional limit theorems; invariance principles (60F17)

Related Items (1)

Convergence of the likelihood ratio method for linear response of non-equilibrium stationary states

Cites Work

• Markov chains and stochastic stability
• Proofs of the martingale FCLT
• Weak limit theorems for stochastic integrals and stochastic differential equations
• A Liapounov bound for solutions of the Poisson equation
• A Unified View of the IPA, SF, and LR Gradient Estimation Techniques
• Efficiency of Multivariate Control Variates in Monte Carlo Simulation
• Note: On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators
• Likelihood ratio gradient estimation for stochastic recursions
• Measure-Valued Differentiation for Stationary Markov Chains
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