Sensitivity Analysis for Simulations via Likelihood Ratios
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Cited in
(78)- On the pathwise computation of derivatives with respect to the rate of a point process: The phantom RPA method
- Monte Carlo gradient estimation in machine learning
- Conditioning for variance reduction in estimating the sensitivity of simulations
- scientific article; zbMATH DE number 744087 (Why is no real title available?)
- scientific article; zbMATH DE number 1836351 (Why is no real title available?)
- Estimation and approximation bounds for gradient-based reinforcement learning
- Stochastic quasigradient methods for optimization of discrete event systems
- Risk-Sensitive Reinforcement Learning via Policy Gradient Search
- What you should know about simulation and derivatives
- Sensitivity analysis of regenerative queuing models
- Improvements in the likelihood ratio method for steady-state sensitivity analysis and simulation
- Sensitivity analysis via simulation in the presence of discontinuities
- Generalized estimates for performance sensitivities of stochastic systems
- Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation
- RPA pathwise derivative estimation of ruin probabilities
- Sensitivity Ranks by Monte Carlo
- Comparison of gradient estimation techniques for queues with non- identical servers
- Gradient and Hessian of joint probability function with applications on chance-constrained programs
- Robustness of perturbation analysis estimators for queueing systems with unknown distributions
- Robust analysis in stochastic simulation: computation and performance guarantees
- Sensitivity Analysis from Sample Paths Using Likelihoods
- Asymptotic analysis of the effect of arrival model uncertainties in some optimal routing problems
- Using sensitivity derivatives for design and parameter estimation in an atmospheric plasma discharge simulation
- Permuted derivative and importance-sampling estimators for regenerative simulations.
- Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications
- Stochastic comparison algorithm for continuous optimization with estimation
- Sensitivity estimates from characteristic functions
- Sensitivity of sample values to parameter changes
- Maximal coupling rare perturbation analysis with a random horizon
- Scheduling policies using marked/phantom slot algorithms
- Effect of model uncertainty on some optimal routing problems
- Perturbation analysis and Malliavin calculus
- Convergence rates for steady-state derivative estimators
- Convergence Rates of Finite-Difference Sensitivity Estimates for Stochastic Systems
- Optimization via simulation: A review
- Uniformization and performance sensitivity estimation in closed queueing networks
- Monte Carlo methods for derivatives of options with discontinuous payoffs
- An exact method for the sensitivity analysis of systems simulated by rejection techniques
- Modality for scenario analysis and maximum likelihood allocation
- Stationary IPA estimates for nonsmooth \(G/G/1/\infty\) functionals via Palm inversion and level-crossing analysis
- Variance reduction for sensitivity estimates obtained from regenerative simulation
- On comparison of steady-state infinitesimal perturbation analysis and likelihood ratio derivative estimates
- Backpropagation in hyperbolic chaos via adjoint shadowing
- How to optimize discrete-event systems from a single sample path by the score function method
- Modified importance sampling for performance evaluation and sensitivity analysis of computer simulation models
- Optimization and sensitivity analysis of computer simulation models by the score function method
- Minimax efficient finite-difference stochastic gradient estimators using black-box function evaluations
- Sensitivity analysis of some applied probability models
- A Monte Carlo Method for Sensitivity Analysis and Parametric Optimization of Nonlinear Stochastic Systems: The Ergodic Case
- Equivariant divergence formula for hyperbolic chaotic flows
- Sensitivity analysis with ^2-divergences
- The score function approach for sensitivity analysis of computer simulation models
- Likelihood Ratio Sensitivity Analysis for Markovian Models of Highly Dependable Systems
- Optimal load sharing in soft real-time systems using likelihood ratios
- Optimizing discrete event dynamic systems via the gradient surface method
- Sensitivity analysis of stochastic dynamical systems
- Second derivative estimation using harmonic analysis
- Stochastic dynamics simulation with generalized interval probability
- Monte Carlo estimation of the density of the sum of dependent random variables
- Sensitivity analysis of discrete event systems by the push out method
- Smoothing complements and randomized score functions
- Fast differentiation of hyperbolic chaos
- Strong consistency of sample path derivative estimates
- Discrete-time ``inversion and derivative estimation for Markov chains
- Perturbation analysis of the \(GI/GI/1\) queue
- Blackbox simulation optimization
- Error analysis for regenerative queueing estimators with special reference to gradient estimators via likelihood ratio
- Sensitivity Analysis of Insurance Risk Models via Simulation
- Pathwise estimation of probability sensitivities through terminating or steady-state simulations
- Ergodic and foliated kernel-differentiation method for linear responses of random systems
- Maximal coupling and rare perturbation sensitivity analysis
- Decomposable score function estimators for sensitivity analysis and optimization of queueing networks
- Two approaches to optimal routing and admission control in systems with real-time traffic
- Likelihood ratio sensitivity analysis for class of queuing systems in transient analysis
- A New Likelihood Ratio Method for Training Artificial Neural Networks
- Measuring what's missing: practical estimates of coverage for stochastic simulations
- Stochastic gradient-based time-cost tradeoffs in PERT networks using simulation
- scientific article; zbMATH DE number 4133810 (Why is no real title available?)
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