Measure-Valued Differentiation for Markov Chains
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DOI: 10.1007/s10957-007-9297-7
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- Paul Glasserman & David D. Yao, 1992. "Some Guidelines and Guarantees for Common Random Numbers," Management Science, INFORMS, vol. 38(6), pages 884-908, June.
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- Kloeden Peter E. & Sanz-Chacón Carlos, 2011. "Efficient price sensitivity estimation of financial derivatives by weak derivatives," Monte Carlo Methods and Applications, De Gruyter, vol. 17(1), pages 47-75, January.
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- Bernd Heidergott & Haralambie Leahu, 2010. "Weak Differentiability of Product Measures," Mathematics of Operations Research, INFORMS, vol. 35(1), pages 27-51, February.
- Bernd Heidergott & Taoying Farenhorst-Yuan, 2010. "Gradient Estimation for Multicomponent Maintenance Systems with Age-Replacement Policy," Operations Research, INFORMS, vol. 58(3), pages 706-718, June.
- Koch, Erwan & Robert, Christian Y., 2022. "Stochastic derivative estimation for max-stable random fields," European Journal of Operational Research, Elsevier, vol. 302(2), pages 575-588.
- Thomas Flynn & Felisa Vázquez-Abad, 2019. "A simultaneous perturbation weak derivative estimator for stochastic neural networks," Computational Management Science, Springer, vol. 16(4), pages 715-738, October.
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Keywords
Gradient estimation; Simulation; Perturbation analysis; Measure-valued differentiation;All these keywords.
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