Strong consistency of sample path derivative estimates

DOI10.1016/0893-9659(90)90047-FMaRDI QIDQ921783zbMATH OpenFDO

Authors Elsie Sterbin Gottlieb

Publication date 1990

Published in Applied Mathematics Letters (Search for Journal in Brave)

zbMATH Keywords

stochastic optimizationstopping timeconditions for strong consistency of sample-path-based derivative estimatorsgradient-based optimization of complex stochastic systemssample path performance functional

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09)

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Cites work

• scientific article; zbMATH DE number 3885030 (Why is no real title available?)
• scientific article; zbMATH DE number 3437452 (Why is no real title available?)
• Convergence Properties of Infinitesimal Perturbation Analysis Estimates
• Performance evaluation and perturbation analysis of discrete event dynamic systems
• Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue
• Realization probability in closed Jackson queueing networks and its application
• Sensitivity Analysis for Simulations via Likelihood Ratios
• Strong consistency of infinitesimal perturbation analysis for tandem queueing networks

Cited in

(3)

• Note: On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators
• Strongly Consistent Steady-State Derivative Estimates
• Infinitesimal perturbation analysis of a queueing system with bursty traffic

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