Abstract
AbstractWe establish sufficient conditions for differentiability of the expected cost collected over a discrete-time Markov chain until it enters a given set. The parameter with respect to which differentiability is analysed may simultaneously affect the Markov chain and the set defining the stopping criterion. The general statements on differentiability lead to unbiased gradient estimators.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
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