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Perturbation analysis via coupling

机译：通过耦合进行扰动分析

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摘要

Perturbation analysis is an efficient method for performance analysis of discrete event dynamic systems. It yields gradient information from only one sample path observation. Over the last two decades, various perturbation analysis techniques have been developed to handle a large class of problems. Coupling is a method of generating multiple random samples. It has wide range of applications in applied probability. The paper is concerned with perturbation analysis via coupling. This approach offers a great versatility of the form of gradient estimators, which is potentially useful for variance reduction and for efficient implementation. Several known perturbation analysis techniques can be reviewed as special ways of coupling. The coupling method is further applied to gradient estimation of Markov chains. The method is used not only in deriving a gradient estimator but also in its implementation. It is proved that the estimator is strongly consistent. Finally, different coupling schemes are compared using an illustrative example.
机译：摄动分析是一种用于离散事件动态系统性能分析的有效方法。它仅从一个样本路径观察中得出梯度信息。在过去的二十年中，已经开发了各种扰动分析技术来处理各种问题。耦合是一种生成多个随机样本的方法。它在应用概率上有广泛的应用。本文涉及通过耦合进行扰动分析。这种方法提供了梯度估计器形式的多功能性，这对于减少方差和有效实施可能很有用。几种已知的扰动分析技术可以作为耦合的特殊方式进行回顾。耦合方法进一步应用于马尔可夫链的梯度估计。该方法不仅用于推导梯度估计器，而且还用于其实现中。证明了估计量是强一致的。最后，使用说明性示例比较不同的耦合方案。

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