Likelihood ratio sensitivity analysis for Markovian models of highly dependable systems

Likelihood ratio sensitivity analysis for Markovian models of highly dependable systems

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Article ID: iaor1995313
Country: United States
Volume: 42
Issue: 1
Start Page Number: 137
End Page Number: 157
Publication Date: Jan 1994
Journal: Operations Research
Authors: , ,
Keywords: simulation: analysis, markov processes, statistics: empirical
Abstract:

This paper discusses the application of the likelihood ratio gradient estimator to simulations of large Markovian models of highly dependable systems. Extensive empirical work, as well as some mathematical analysis of small dependability models, suggests that (in this model setting) the gradient estimators are not significantly more noisy than the estimates of the performance measures themselves. The paper also discusses implementation issues associated with likelihood ratio gradient estimation, as well as some theoretical complements associated with application of the technique to continuous-time Markov chains.

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