Likelihood Ratio Gradient Estimation for Steady-State Parameters
Author:
Affiliation:
1. Department of Management Science and Engineering, Stanford University, Stanford, California 94305;
2. Department of Statistics and Operations Research, University of North Carolina, Chapel Hill, Chapel Hill, North Carolina 27599
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Subject
Management Science and Operations Research,Statistics, Probability and Uncertainty,Modelling and Simulation,Statistics and Probability
Reference14 articles.
1. Markov Processes
2. Chapter 19 Gradient Estimation
3. Likelihood ratio gradient estimation for stochastic recursions
4. A Liapounov bound for solutions of the Poisson equation
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