Strong consistency of sample path derivative estimates

DOI10.1016/0893-9659(90)90047-FzbMATH Open0709.62079MaRDI QIDQ921783FDOQ921783

Authors: Elsie Sterbin Gottlieb 

Publication date: 1990

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

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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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue
• Convergence Properties of Infinitesimal Perturbation Analysis Estimates
• Realization probability in closed Jackson queueing networks and its application
• Performance evaluation and perturbation analysis of discrete event dynamic systems
• Sensitivity Analysis for Simulations via Likelihood Ratios
• Strong consistency of infinitesimal perturbation analysis for tandem queueing networks

Cited In (3)

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

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