Likelihood Ratio Derivative Estimators For Stochastic Systems

Abstract

This paper discusses Iikelihood--ratio--derivative estimation techniques for stochastic systems. After a brief review of the basic concepts, likelihood-ratio-derivative estimators are presented for the following classes of stochastic processes: time homogeneous discrete-time Markov chains, non-time-homogeneous discrete-time Markov chains, time-homogeneous continuous-time Markov chains, semi-Markov processes, non-time-homogeneous continuous-time Markov chains, and generalized semi-Markov processes.