Abstract
The authors present maximal coupling rare perturbation analysis (RPA), an approach for computing gradient estimates in sensitivity analysis. They extend the result of P. Bremaud (1992) to the random horizon case. They also interpret the analysis of L. Dai and Y.C. Ho (1992) in terms of maximal coupling (one sided). >
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have