| Article ID: | iaor19931491 |
| Country: | Switzerland |
| Volume: | 39 |
| Issue: | 1/4 |
| Start Page Number: | 173 |
| End Page Number: | 194 |
| Publication Date: | Jan 1993 |
| Journal: | Annals of Operations Research |
| Authors: | Pflug G.Ch. |
| Keywords: | measurement, stochastic processes |
In this paper, an algorithm for the estimation of the gradient of the stationary performance of a Markov chain w.r.t. a real parameter is presented. The method works for discrete and continuous state spaces. A comparison with the efficient score method and extensions to semi-Markov processes and discrete event dynamical systems are made.