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Likelihood Ratio Derivative Estimation for Finite-Time Performance Measures in Generalized Semi-Markov Processes
16 references·1 citing·22 second hop
Likelihood Ratio Derivative Estimation for Finite-Time Performance Measures in Generalized Semi-Markov Processes (1998)Likelihood Ratio Derivative Estimation fo…Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method (1995)Discrete Event Systems: Sensi…Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method (1994)Discrete Event Systems: Sensi…Some Guidelines and Guarantees for Common Random Numbers (1992)Some Guidelines and Guarantee…Gradient Estimation via Perturbation Analysis (1991)Gradient Estimation via Pertu…Likelihood ratio gradient estimation for stochastic systems (1990)Likelihood ratio gradient est…A Unified View of the IPA, SF, and LR Gradient Estimation Techniques (1990)A Unified View of the IPA, SF…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…Importance Sampling for Stochastic Simulations (1989)Importance Sampling for Stoch…Convergence Properties of Infinitesimal Perturbation Analysis Estimates (1988)Convergence Properties of Inf…Likelilood ratio gradient estimation (1987)Likelilood ratio gradient est…The score function approach for sensitivity analysis of computer simulation models (1986)The score function approach f…A guide to simulation (2nd ed.) (1986)A guide to simulation (2nd ed…Perturbation analysis and optimization of queueing networks (1983)Perturbation analysis and opt…A Guide to Simulation (1983)A Guide to SimulationContinuity of Generalized Semi-Markov Processes (1980)Continuity of Generalized Sem…Optimisation Methods in Supply Chain Applications: a Review (2009)Optimisation Methods in Suppl…Point Processes and Queues (1981)Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue (1988)A gradient technique for general buffer storage design in a production line (1979)Control: A perspective (2014)A Review of Modern Computational Algorithms for Bayesian Optimal Design (2015)A review of simulation optimization techniques (2002)Simulation optimization: A comprehensive review on theory and applications (2004)Introduction to Stochastic Processes (2014)Optimization via simulation: A review (1994)Conditional value-at-risk for general loss distributions (2002)Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Advancing the art of simulation in the social sciences (1997)Simulation Budget Allocation for Further Enhancing the Efficiency of Ordinal Optimization (2000)Feature Article: Optimization for simulation: Theory vs. Practice (2002)Monte Carlo Sampling Methods (2003)Lectures on Stochastic Programming (2009)Monte Carlo methods for security pricing (1997)Simulation optimization: a review of algorithms and applications (2015)Costs, effects and C/E‐ratios alongside a clinical trial (1994)Model Transparency and Validation (2012)Fast simulation of rare events in queueing and reliability models (1995)Robust Optimization of Large-Scale Systems (1995)
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References

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  • 1989Sensitivity Analysis for Simulations via Likelihood Ratios253 cited
  • 1987Likelilood ratio gradient estimation219 cited
  • 1990A Unified View of the IPA, SF, and LR Gradient Estimation Techniques211 cited
  • 1980Continuity of Generalized Semi-Markov Processes197 cited
  • 1992Some Guidelines and Guarantees for Common Random Numbers185 cited
  • 1989Sensitivity Analysis and Performance Extrapolation for Computer Simulation Models179 cited
  • 1988Convergence Properties of Infinitesimal Perturbation Analysis Estimates157 cited

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  • 1986The score function approach for sensitivity analysis of computer simulation models95 cited
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    • 2009Optimisation Methods in Supply Chain Applications: a Review9 cited