Strong consistency of sample path derivative estimates

DOI10.1016/0893-9659(90)90047-FzbMath0709.62079MaRDI QIDQ921783

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)

Related Items (2)

Infinitesimal perturbation analysis of a queueing system with bursty traffic ⋮ Strongly Consistent Steady-State Derivative Estimates

Cites Work

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• Strong consistency of infinitesimal perturbation analysis for tandem queueing networks
• Realization probability in closed Jackson queueing networks and its application
• Performance evaluation and perturbation analysis of discrete event dynamic systems
• Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue
• Convergence Properties of Infinitesimal Perturbation Analysis Estimates
• Sensitivity Analysis for Simulations via Likelihood Ratios

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