Asymptotics for Likelihood Ratio Derivative Estimators in Simulations of Highly Reliable Markovian Systems

Résumé du livre

This result is of particular interest in light of the somewhat pessimistic empirical results others have obtained when applying the likelihood ratio method to other types of systems. However, the result only holds for certain partial derivatives of the performance measure when using naive simulation, and we develop a simple criterion to determine which partial derivatives will satisfy this desirable property. We also examine the limiting behavior of the estimates of the performance measure and its derivatives which are obtained when an importance sampling scheme known as balanced failure biasing is used. In particular, we show that the estimates of all derivatives can be improved.