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Maximal coupling and rare perturbation sensitivity analysis

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Abstract

In this article, we introduce a new method for obtaining the ersatz sample derivatives useful in sensitivity analysis: the maximal coupling RPA method.

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Authors and Affiliations

  1. Laboratoire des Signaux et Systèmes, CNRS-ESE, Plateau de Moulon, 91192, Gif-sur-Yvette, France

    P. Brémaud

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  1. P. Brémaud
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Brémaud, P. Maximal coupling and rare perturbation sensitivity analysis. Queueing Syst 11, 307–333 (1992). https://doi.org/10.1007/BF01163859

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  • DOI: https://doi.org/10.1007/BF01163859

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