Abstract
Although the two sensitivity formulas for Markov chains can be derived easily from the Poisson equation, this mathematical derivation lacks structural insights needed for deriving similar sensitivity formulas for other non-standard problems.
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References
X. R. Cao, “The Potential Structure of Sample Paths and Performance Sensitivities of Markov Systems,” IEEE Transactions on Automatic Control, Vol. 49, 2129-2142, 2004.
X. R. Cao, “Basic Ideas for Event-Based Optimization of Markov Systems,” Discrete Event Dynamic Systems: Theory and Applications, Vol. 15, 169-197, 2005.
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Cao, XR. (2007). Constructing Sensitivity Formulas. In: Stochastic Learning and Optimization. Springer, Boston, MA. https://doi.org/10.1007/978-0-387-69082-7_9
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DOI: https://doi.org/10.1007/978-0-387-69082-7_9
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