DocumentCode
2415253
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
fYear
1992
fDate
1992
Firstpage
783
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1992., Proceedings of the 31st IEEE Conference on
Conference_Location
Tucson, AZ
Print_ISBN
0-7803-0872-7
Type
conf
DOI
10.1109/CDC.1992.371618
Filename
371618
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