Title :
Sensitivity analysis over a random horizon: the maximal coupling rate perturbation analysis
Author :
Brémaud, Pierre ; Massoulié, Laurent
Author_Institution :
Lab. des Signaux et Syst., CNRS-ESE, Gif-sur-Yvette, France
Abstract :
The authors present maximal coupling rare perturbation analysis (RPA), an approach for computing gradient estimates in sensitivity analysis. They extend the result of P. Bremaud (1992) to the random horizon case. They also interpret the analysis of L. Dai and Y.C. Ho (1992) in terms of maximal coupling (one sided)
Keywords :
Markov processes; perturbation techniques; probability; sensitivity analysis; generalised semiMarkov processes; gradient estimates; maximal coupling rate perturbation analysis; probability distribution; random horizon; sensitivity analysis; Analysis of variance; Cost function; Distribution functions; Extraterrestrial measurements; Particle measurements; Performance analysis; Probability distribution; Random variables; Routing; Sensitivity analysis;
Conference_Titel :
Decision and Control, 1992., Proceedings of the 31st IEEE Conference on
Conference_Location :
Tucson, AZ
Print_ISBN :
0-7803-0872-7
DOI :
10.1109/CDC.1992.371618
