Convergence of parameter sensitivity estimates in a stochastic experiment

No abstract is available for this paper.

• Publication year

  1984

• Venue

  IEEE Conference on Decision and Control

• Publication date

  1984-12-01

• Fields of study

  Mathematics

• Identifiers
  DOI 10.1109/TAC.1985.1104076
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Simulation analysis

  1983cited by this paper
• Perturbation analysis of sojourn time in queueing networks

  1983cited by this paper
• Infinitesimal perturbation analysis of discrete event dynamic systems: A general theory

  1983cited by this paper
• Implementation of sensitivity calculations on a monte carlo experiment

  1983cited by this paper
• Stochastic approximation method with gradient averaging for unconstrained problems

  1983cited by this paper
• Infinitesimal and finite perturbation analysis for queueing networks

  1982cited by this paper
• Perturbation analysis and optimization of queueing networks

  1982cited by this paper
• A spectral method for confidence interval generation and run length control in simulations

  1981cited by this paper
• Parametric sensitivity of a statistical experiment

  1979cited by this paper
• Sequential stopping rules for the regenerative method of simulation

  1977cited by this paper
• Analysis of recursive stochastic algorithms

  1977cited by this paper
• Computational algorithms for closed queueing networks with exponential servers

  1973cited by this paper
• On Stochastic Approximation

  1956cited by this paper
• Stochastic Estimation of the Maximum of a Regression Function

  1952cited by this paper

• Stochastic Derivative Estimation for Discontinuous Sample Performances: A Leibniz Integration Perspective

  2025cites this paper
• Automatic Differentiation for Gradient Estimators in Simulation

  2022cites this paper
• Sensitivity Analysis and Concurrent Estimation

  2021cites this paper
• Introduction

  2020cites this paper
• Optimal Control of Markov Processes: Infinite-Horizon

  2020cites this paper
• Are we Forgetting about Compositional Optimisers in Bayesian Optimisation?

  2020cites this paper
• Performance-Derivative-Based Optimization

  2020cites this paper
• A systematic and efficient simulation scheme for the Greeks of financial derivatives

  2019cites this paper
• Perturbation Analysis of Discrete Event Systems

  2019cites this paper
• Maximizing acquisition functions for Bayesian optimization

  2018cites this paper
• History of seeking better solutions, AKA simulation optimization

  2017influential citation
• On Projected Stochastic Gradient Descent Algorithm with Weighted Averaging for Least Squares Regression

  2017cites this paper
• Simulation Optimization of Buffer Allocations in Production Lines with Unreliable Machines

  2017cites this paper
• SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY

  2017cites this paper
• Perturbation analysis: A framework for data-driven control and optimization of discrete event and hybrid systems

  2017cites this paper
• On projected stochastic gradient descent algorithm with weighted averaging for least squares regression

  2016cites this paper
• Variance Reduction Technique for Multi Network of Markovian Queue

  2016cites this paper
• Solutions Homework 12

  2015cites this paper
• How Does Perturbation Analysis Work in Finance and Economics?

  2014influential citation
• Perturbation Analysis, Dynamic Programming, and Beyond

  2013cites this paper
• Analysis of non-linear behavior - a sensitivity-based approach

  2012cites this paper
• Performance optimization of queueing systems with perturbation realization

  2012cites this paper
• Unbiased gradient estimation in queueing networks with parameter-dependent routing

  2012cites this paper
• Estimating multiple option Greeks simultaneously using random parameter regression

  2012cites this paper
• Stochastic learning and optimization — Ideas vs mathematics?

  2011cites this paper
• Pathwise Estimation of Probability Sensitivities Through Terminating or Steady-State Simulations

  2010cites this paper
• Sensitivity Analysis for Neural Networks

  2009cites this paper
• Sensitivity Estimates for Compound Sums

  2009cites this paper
• Estimation of Dependability Measures and Parameter Sensitivities of a Consecutive- -out-of- :F Repairable System With -Step

  2008cites this paper
• An Analysis of Gradient Estimates in Stochastic Network Optimization Problems

  2008cites this paper
• Event-Based Optimization of Markov Systems

  2008cites this paper
• Estimation of Dependability Measures and Parameter Sensitivities of a Consecutive-$k$-out-of-$n$: F Repairable System With $(k-1)$-Step Markov Dependence by Simulation

  2008cites this paper
• Optimization Models of Discrete-Event System Dynamics

  2008influential citation
• Mathematical programming-based perturbation analysis for GI/G/1 queues

  2007influential citation
• Chapter 19 Gradient Estimation

  2006cites this paper
• Tilburg University Discrete events

  2006cites this paper
• Response Gradient Estimation using Mathematical Programming Models of Discrete-Event System Sample Paths

  2006influential citation
• RESPONSE GRADIENT ESTIMATION USING MATHEMATICAL PROGRAMMING MODELS OF DISCRETE-EVENT SYSTEM SAMPLE PATHS

  2006influential citation
• Lead-time planning in stochastic production system: an approach using perturbation analysis

  2005cites this paper
• A basic formula for online policy gradient algorithms

  2005cites this paper
• Stochastic Gradient Estimation

  2005cites this paper
• A min-plus derivation of the fundamental car-traffic law

  2005cites this paper
• Performance Potentials in Finite-Stage Markov Decision Processes

  2004cites this paper
• Setting planned lead-times in a stochastic production environment

  2004cites this paper
• TECHNICAL RESEARCH REPORT

  2004cites this paper
• The potential structure of sample paths and performance sensitivities of Markov systems

  2004cites this paper
• A system theoretic perspective of learning and optimization

  2003cites this paper
• Consistent algorithm for sensitivity estimation of Markov discrete event dynamic system

  2003cites this paper
• Phantom Harmonic Gradient Estimators for Nonpreemptive Priority Queueing Systems

  2001cites this paper
• Fair pricing policy for multipoint-to-point service in Internet wide-area network

  2001cites this paper
• Simulation optimization of buffer allocations in production lines with unreliable machines

  2000cites this paper
• A harmonic analysis approach to simulation sensitivity analysis

  1999cites this paper
• Approximating an Optimal Production Policy in a Continuous Flow Line: Recurrence and Asymptotic Properties

  1999cites this paper
• Sensitivity analysis of the loss probability in a stationary gradual queue for high-speed networks

  1997cites this paper
• Smoothed Perturbation Analysis for Single-Server Queues by Some General Service Disciplines

  1997cites this paper
• Perturbation realization, potentials, and sensitivity analysis of Markov processes

  1997cites this paper
• SINGLE-SERVER QUEUES WITH SOME GENERAL SERVICE DISCIPLINES

  1997cites this paper
• Perturbation analysis of discrete event systems: Concepts, algorithms, and applications

  1996cites this paper
• Dynamic allocation of kanbans in a manufacturing system using perturbation analysis

  1995cites this paper
• Event coupling and performance sensitivity analysis of generalized semi-Markov processes

  1995cites this paper
• Sensitivity error bounds for non-exponential stochastic networks

  1995cites this paper
• On-Line Derivative Estimation for the GI/G/1 Queue with Multiple Vacations and Bernoulli Service Discipline

  1994cites this paper
• Perturbation analysis for the GI/G/1 queue with two priority classes

  1994cites this paper
• Using stochastic optimization to determine threshold values for the control of unreliable manufacturing systems

  1994cites this paper
• Resource allocation for a stochastic CPM-type network through perturbation analysis

  1994cites this paper
• Second derivative estimation using harmonic analysis

  1994cites this paper
• Infinitesimal perturbation analysis of a queueing system with bursty traffic

  1994cites this paper
• Adaptive load sharing with on-line gradient estimating in network environments

  1993cites this paper
• Gradient/sensitivity Estimation in Discrete-Event Simulation

  1993cites this paper
• Structural Sensitivity Analysis of Discrete Event Systems by Inversion

  1993cites this paper
• Sensitivity analysis and optimization of stochastic Petri nets

  1993influential citation
• On the eventual invertibility of discrete event systems and its applications

  1993cites this paper
• Stationary IPA estimates for nonsmooth G/G/1/∞ functionals via palm inversion and level-crossing analysis

  1993cites this paper
• Derivatives of likelihood ratios and smoothed perturbation analysis for the routing problem

  1993cites this paper
• Unbiased estimates for gradients of stochastic network performance measures

  1993cites this paper
• Multivariate stochastic approximation using a simultaneous perturbation gradient approximation

  1992cites this paper
• The Performance Sensitivity to Routing Changes in an FMS Using Perturbation Analysis

  1992cites this paper
• Full-state perturbation analysis of discrete event dynamic systems

  1992cites this paper
• Parameter optimization of a control policy for unreliable manufacturing systems

  1992cites this paper
• Addendum to "Extensions and generalizations of smoothed perturbation analysis in a generalized semi-Markov process framework"

  1992cites this paper
• Optimization of Stochastic Discrete Event Dynamic Systems: A Survey of Some Recent Results

  1992cites this paper
• Application of smoothed probabilistic analysis to perturbation routing

  1992cites this paper
• Augmented infinitesimal perturbation analysis: An alternate explanation

  1992influential citation
• Conditioning for variance reduction in estimating the sensitivity of simulations

  1992cites this paper
• Robustness of perturbation analysis estimators for queueing systems with unknown distributions

  1991cites this paper
• How to optimize discrete-event systems from a single sample path by the score function method

  1991cites this paper
• Consistency of perturbation analysis for a queue with finite buffer space and loss policy

  1991cites this paper
• Structural conditions for perturbation analysis of queueing systems

  1991cites this paper
• ON-LINE CONTROL OF DISCRETE EVENT SYSTEMS: SOME EXTENSIONS OF PERTURBATION ANALYSIS1

  1991cites this paper
• Perturbation analysis of a multiclass queueing system with admission control

  1991cites this paper
• The Gradient Estimation Problem in Discrete-Event Dynamic Systems With Discontinuous Performance Measures*

  1991cites this paper
• Consistency of infinitesimal perturbation analysis for the GI/G/m queue

  1991cites this paper
• Optimization of static simulation models by the score function method

  1990cites this paper
• Realization factors and sensitivity analysis of queueing networks with state-dependent service rates

  1990cites this paper
• On-Line Control of Discrete Event Systems: Some Extensions of Perturbation Analysis

  1990cites this paper
• Optimization in simulation: Current issues and the future outlook

  1990cites this paper
• Compensators and derivative estimation for queueing systems

  1990cites this paper
• On the Convergence Rates of IPA and FDC Derivative Estimators

  1990cites this paper
• Optimal Design of Buffer Storage in an Assembly Line

  1990cites this paper
• Efficient Parametric Analysis of Performance Measures for Communication Networks

  1990cites this paper