Maximal coupling and rare perturbation sensitivity analysis

@article{Brmaud1992MaximalCA,
  title={Maximal coupling and rare perturbation sensitivity analysis},
  author={Pierre Br{\'e}maud},
  journal={Queueing Syst.},
  year={1992},
  volume={11},
  pages={307-333}
}
of a given performance index EoPt'o] relative to some DEDS with respect to a parameter 0. This parameter can be scalar, as in (1.1), or a vector, in which case one would compute a gradient instead of a derivative. We shall consider the scalar case for simplicity. The dependency of the performance index on the parameter 0 can be of two natures: it could be a dependency of the probability law itself, say Po, and/or it could be a dependency of the "trajectory" Wo of the performance index. This… CONTINUE READING
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