MAXIMAL COUPLING RARE PERTURBATION ANALYSIS WITH A RANDOM HORIZON

Authors
BREMAUD P MASSOULIE L
Citation
P. Bremaud et L. Massoulie, MAXIMAL COUPLING RARE PERTURBATION ANALYSIS WITH A RANDOM HORIZON, Discrete event dynamic systems, 5(4), 1995, pp. 319-342
Citations number
16
Categorie Soggetti
Mathematics,"Operatione Research & Management Science","Robotics & Automatic Control
Journal title
Discrete event dynamic systems → ACNP
ISSN journal
09246703
Volume
5
Issue
4
Year of publication
1995
Pages
319 - 342
Database
ISI
SICI code
0924-6703(1995)5:4<319:MCRPAW>2.0.ZU;2-B
Abstract
In this article we present extensions of the recently introduced maxim al coupling Rare Perturbation Analysis (RPA), a novel approach for com puting gradient estimates in sensitivity analysis, and we extend the r esult of Bremaud (1992) to the random horizon case. Also we interpret the analysis of Dai and Ho (1992) in terms of maximal coupling (one si ded).