Measure-Valued Differentiation for Stationary Markov Chains
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Publication:5387971
DOI10.1287/MOOR.1050.0171zbMATH Open1278.90428OpenAlexW2115679377MaRDI QIDQ5387971FDOQ5387971
Authors: Arie Hordijk, Heinz Weisshaupt, Bernd Heidergott 
Publication date: 27 May 2008
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://research.vu.nl/ws/files/2210685/measurevalueddifferentiation2006.pdf
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- New perturbation bounds for denumerable Markov chains
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- A perturbation analysis approach to phantom estimators for waiting times in the \(G/G/1\) queue
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- Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation
- Stochastic approximations and monotonicity of a single server feedback retrial queue
- Estimation of the derivative of a stationary measure with respect to a control parameter
- Measure-valued differentiation for Markov chains
- Admissible formal differentiations for pure discontinuous Markov processes
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- Taylor series expansions for stationary Markov chains
- On differentiability of the expectations of functionals of a markov process
- Sensitivity analysis of stationary performance measures for Markov chains
- Stochastic inequalities for \(M/G/1\) retrial queues with vacations and constant retrial policy
- Likelihood ratio gradient estimation for steady-state parameters
- On the differentiability of parametrized families of linear operators and the sensitivity of their stationary vectors
- Likelihood ratio gradient estimation for stochastic recursions
- Characterization and sufficient conditions for normed ergodicity of Markov chains
- Perturbation analysis of waiting times in the G/G/1 queue
- A perturbation analysis of Markov chains models with time-varying parameters
- Quantitative Estimates in an M2/G2/1 Priority Queue with Non-Preemptive Priority: The Method of Strong Stability
- Gradient estimates for the performance of Markov chains and discrete event processes
- Perturbation analysis for denumerable Markov chains with application to queueing models
- Lyapunov Conditions for Differentiability of Markov Chain Expectations
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