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Maximal coupling and rare perturbation sensitivity analysis |
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| Authors: | P. Brémaud |
| Affiliation: | (1) Laboratoire des Signaux et Systèmes, CNRS-ESE, Plateau de Moulon, 91192 Gif-sur-Yvette, France |
| Abstract: | In this article, we introduce a new method for obtaining the ersatz sample derivatives useful in sensitivity analysis: the maximal coupling RPA method. |
| Keywords: | Sensitivity analysis perturbation analysis discrete event dynamical systems simulation likelihood ratio point processes |
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