Single-Run Gradient Estimation Via Measure-Valued Differentiation

DOI10.1109/TAC.2004.835588MaRDI QIDQ5273908zbMATH OpenFDO

Authors Arie Hordijk, Bernd Heidergott

Publication date 12 July 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.2004.835588

Mathematics Subject Classification ID

Abstract differentiation theory, differentiation of set functions (28A15) Markov processes: estimation; hidden Markov models (62M05)

Cited in

(5)

• Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation
• A perturbation analysis approach to phantom estimators for waiting times in the \(G/G/1\) queue
• Measure-valued differentiation for Markov chains
• Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation
• Strong bounds on perturbations

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