Likelihood ratio sensitivity analysis for Markovian models of highly dependable systems

Marvin K. Nakayama, Ambuj Goyal, Peter W. Glynn

Research output: Contribution to journalArticlepeer-review

19 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)137-157
Number of pages21
JournalOperations Research
Volume42
Issue number1
DOIs
StatePublished - Jan 1 1994
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Computer Science Applications
  • Management Science and Operations Research

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