Gradient Estimation for Regenerative Processes

Abstract

This paper is concerned with gradient estimation techniques for steady-state performance measures associated with regenerative stochastic processes. The principal emphasis is on the discussion of conditions under which likelihood ratio methods and infinitesimal perturbation analysis techniques are valid.... Regenerative processes, Perturbation analysis, Likelihood ratios.

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Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1992
Accession Number
ADA263766

Entities

People

  • Paul Glasserman
  • Peter W. Glynn

Organizations

  • Stanford University

Tags

DTIC Thesaurus Topics

  • Abstracts
  • Consistency
  • Contracts
  • Equations
  • Estimators
  • Lyapunov Functions
  • Markov Chains
  • Markov Processes
  • Military Research
  • New York
  • Operations Research
  • Perturbations
  • Probability
  • Probability Distributions
  • Random Variables
  • Steady State
  • Stochastic Processes

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  • Control Systems Engineering.
  • Neurotrauma and Rehabilitation Medicine.
  • Regression Analysis.