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Journal of Optimization Theory and Applications

Volumn 136, Issue 2, 2008, Pages 187-209

Measure-valued differentiation for Markov chains

(2) Heidergott, B a Vazquez Abad F J b

a TINBERGEN INSTITUTE (Netherlands)

b UNIVERSITY OF MELBOURNE (Australia)

Author keywords

Gradient estimation; Measure valued differentiation; Perturbation analysis; Simulation

Indexed keywords

CHAINS; ECONOMIC AND SOCIAL EFFECTS; MARKOV PROCESSES;

FINITE HORIZONS; GRADIENT ESTIMATION; GRADIENT ESTIMATOR; MARKOV KERNELS; MEASURE-VALUED DIFFERENTIATION; PERFORMANCE FUNCTIONS; PERFORMANCE MEASURE; PERTURBATION ANALYSIS; PRODUCT RULE; SIMULATION;

SENSITIVITY ANALYSIS;

EID: 38549119340 PISSN: 00223239 EISSN: 15732878 Source Type: Journal
DOI: 10.1007/s10957-007-9297-7 Document Type: Article

Times cited : (35)

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- Heidergott, B.¹ Vázquez-Abad, F.J.²

5
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- Internet supplement
- Heidergott, B., Vázquez-Abad, F.J.: Internet supplement, http://staff.feweb.vu.nl/bheidergott/JOTAsupplement.pdf
- Heidergott, B.¹ Vázquez-Abad, F.J.²

6
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10
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- Derivatives of Markov kernels and their Jordan decomposition
- accepted for publication
- Heidergott, B., Hordjik, A., Weisshaupt, H.: Derivatives of Markov kernels and their Jordan decomposition. J. Appl. Anal. (2008, accepted for publication)
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