Gradient Estimation for Regenerative Processes

P. Glasserman and P. W. Glynn

Proceedings of the 1992 Winter Simulation Conference, 280-288 (1992)

This paper is concerned with gradient estimation techniques for steady-state performance measures associated with regenerative stochastic processes. The principal emphasis is on the discussion of conditions under which likelihood ratio methods and infinitesimal perturbation analysis techniques are valid.