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Maximal coupling Rare Perturbation Analysis with a random horizon

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Abstract

In this article we present extension of the recently introduced maximal coupling Rare Perturbation Analysis (RPA), a novel approach for computing gradient estimates in sensitivity analysis, and we extend the result of Brémaud (1992) to the random horizon case. Also we interpret the analysis of Dai and Ho (1992) in terms of maximal coupling (one sided).

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Authors and Affiliations

  1. Laboratoire des Signaux et Systèmes, CNRS-ESE, Plateau de Moulon, 91192, Gif-sur-Yvette, France

    Pierre Brémaud & Laurent Massoulié

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  1. Pierre Brémaud
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  2. Laurent Massoulié
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Brémaud, P., Massoulié, L. Maximal coupling Rare Perturbation Analysis with a random horizon. Discrete Event Dyn Syst 5, 319–342 (1995). https://doi.org/10.1007/BF01439151

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  • DOI: https://doi.org/10.1007/BF01439151

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