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Maximal coupling and rare perturbation sensitivity analysis
12 references·1 citing·29 second hop
Maximal coupling and rare perturbation sensitivity analysis (1992)Maximal coupling and rare perturbation se…Virtual customers in sensitivity and light traffic analysis via Campbell's formula for point processes (1993)Virtual customers in sensitiv…On the pathwise computation of derivatives with respect to the rate of a point process: The phantom RPA method (1992)On the pathwise computation o…Gradient Estimation via Perturbation Analysis (1991)Gradient Estimation via Pertu…Sensitivity Analysis for Simulations via Likelihood Ratios (1989)Sensitivity Analysis for Simu…Sensitivity Analysis and Performance Extrapolation for Computer Simulation Models (1989)Sensitivity Analysis and Perf…Perturbation analysis: the state of the art and research issues explained via the GI/G/1 queue (1989)Perturbation analysis: the st…Open Queueing Systems in Light Traffic (1989)Open Queueing Systems in Ligh…A New Estimator of Sensitivity Measures for Simulations Based on Light Traffic Theory (1989)A New Estimator of Sensitivit…Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue (1988)Perturbation Analysis Gives S…Smoothed (conditional) perturbation analysis of discrete event dynamical systems (1987)Smoothed (conditional) pertur…Likelilood ratio gradient estimation (1987)Likelilood ratio gradient est…Point Processes and Queues (1981)Point Processes and QueuesPerturbation analysis and Malliavin calculus (1998)Perturbation analysis and Mal…Perturbation analysis and optimization of queueing networks (1983)Likelihood ratio gradient estimation for stochastic systems (1990)Optimization via simulation: A review (1994)Algorithms for sensitivity analysis of Markov systems through potentials and perturbation realization (1998)Simulation optimization: a survey of simulation optimization techniques and procedures (2000)Stochastic Approximation Methods for Constrained and Unconstrained Systems (1978)A Guide to Simulation (1983)Simulation Modeling and Analysis. (1983)Convergence Properties of Infinitesimal Perturbation Analysis Estimates (1988)STOCHASTIC APPROXIMATION (2005)Mathematical Theory of Connecting Networks and Telephone Traffic (1966)Approximations of the Mean Waiting Time in an M/G/s Queueing System (1979)Matrix-Geometric Solutions to Stochastic Models (1984)Call admission and routing in multi-service loss networks (1994)Interpolation approximations for symmetric Fork-Join queues (1994)Poisson Arrivals See Time Averages (1982)Steady-state simulation of queueing processes: survey of problems and solutions (1990)A Stochastic Approximation Method (1951)Stochastic Estimation of the Maximum of a Regression Function (1952)Personal communication (1989)Exploratory Modeling for Policy Analysis (1993)Feature Article: Optimization for simulation: Theory vs. Practice (2002)Monte Carlo Sampling Methods (2003)Lectures on Stochastic Programming (2009)A Unified View of the IPA, SF, and LR Gradient Estimation Techniques (1990)Monte Carlo methods for security pricing (1997)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)
this work references cited by second hop

References

  • 1981Point Processes and Queues1,652 cited
  • 1991Gradient Estimation via Perturbation Analysis707 cited
  • 1989Sensitivity Analysis for Simulations via Likelihood Ratios253 cited
  • 1988Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue226 cited
  • 1987Smoothed (conditional) perturbation analysis of discrete event dynamical systems222 cited
  • 1987Likelilood ratio gradient estimation219 cited
  • 1989Perturbation analysis: the state of the art and research issues explained via the GI/G/1 queue211 cited
  • 1989Sensitivity Analysis and Performance Extrapolation for Computer Simulation Models179 cited
  • 1989Open Queueing Systems in Light Traffic111 cited
  • 1992On the pathwise computation of derivatives with respect to the rate of a point process: The phantom RPA method85 cited
  • 1993Virtual customers in sensitivity and light traffic analysis via Campbell's formula for point processes32 cited
  • 1989A New Estimator of Sensitivity Measures for Simulations Based on Light Traffic Theory13 cited

Cited by

  • 1998Perturbation analysis and Malliavin calculus16 cited

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