A SINGLE SAMPLE PATH-BASED PERFORMANCE SENSITIVITY FORMULA FOR MARKOV CHAINS

摘要

With a sample path approach, a new formula is derived for performance sensitivities of discrete-time Markov chains. A distinguished feature of this formula is that the quantities involved can be estimated by analyzing a single sample path of a Markov chain. Thus, the formula creates a new direction for sensitivity analysis and can be viewed as an extension of the perturbation realization theory.