Performance evaluation for the score function method in sensitivity analysis and stochastic optimization-Reference-Cited by-同舟云学术

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Performance evaluation for the score function method in sensitivity analysis and stochastic optimization

Published:1992 Issue: Volume: Page:1-13
ISSN:0075-8442
Container-title:Lecture Notes in Economics and Mathematical Systems
language:
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Author:

Asmussen Søren,Rubinstein Reuven

Publisher

Springer Berlin Heidelberg

Link

http://link.springer.com/content/pdf/10.1007/978-3-642-48914-3_1.pdf

Reference9 articles.

1. S. Asmussen (1987) Applied Probability and Queues, John Wiley & Sons.

2. S. Asmussen (1991) Queueing simulation in heavy traffic. Math. Opns. Res.

3. S. Asmussen & R.Y. Rubinstein (1992) The efficiency and heavy traffic properties of the score function method for sensitivity analysis of queueing models. Adv. Appl. Probab.

4. S. Asmussen & R.Y. Rubinstein (1991) The performance of likelihood ratio estimators using the score function. Stock. Models, (under revision).

5. P. Glasserman (1990) Stochastic monotonicity, total positivity, and conditional Monte Carlo for likelihood ratios. Manuscript, AT & T Bell Laboratories, Holmdel, N.J.

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Response surface estimation and sensitivity analysis via efficient change of measure;Communications in Statistics. Stochastic Models;1993-01

2. Decomposable score function estimators for sensitivity analysis and optimization of queueing networks;Annals of Operations Research;1992-12

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