A single sample path-based performance sensitivity formula forMarkov chains |
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Authors: | Xi-Ren Cao Xue-Ming Yuan Li Qiu |
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Affiliation: | Hong Kong Univ. of Sci. & Technol., Kowloon ; |
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Abstract: | Using a sample path approach, we derive a new formula for performance sensitivities of discrete-time Markov chains. A distinguished feature of this formula is that the quantities involved can be estimated by analyzing a single sample path of a Markov chain. Thus, the formula provides a new direction for sensitivity analysis and can be viewed as an extension of the perturbation realization theory to problems where infinitesimal perturbation analysis does not work well |
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