{"title":"Gradient estimation for smooth stopping criteria","authors":"B. Heidergott, Yijie Peng","doi":"10.1017/apr.2022.7","DOIUrl":null,"url":null,"abstract":"Abstract We establish sufficient conditions for differentiability of the expected cost collected over a discrete-time Markov chain until it enters a given set. The parameter with respect to which differentiability is analysed may simultaneously affect the Markov chain and the set defining the stopping criterion. The general statements on differentiability lead to unbiased gradient estimators.","PeriodicalId":53160,"journal":{"name":"Advances in Applied Probability","volume":"55 1","pages":"29 - 55"},"PeriodicalIF":0.9000,"publicationDate":"2022-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Advances in Applied Probability","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1017/apr.2022.7","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 0
Abstract
Abstract We establish sufficient conditions for differentiability of the expected cost collected over a discrete-time Markov chain until it enters a given set. The parameter with respect to which differentiability is analysed may simultaneously affect the Markov chain and the set defining the stopping criterion. The general statements on differentiability lead to unbiased gradient estimators.
期刊介绍：
The Advances in Applied Probability has been published by the Applied Probability Trust for over four decades, and is a companion publication to the Journal of Applied Probability. It contains mathematical and scientific papers of interest to applied probabilists, with emphasis on applications in a broad spectrum of disciplines, including the biosciences, operations research, telecommunications, computer science, engineering, epidemiology, financial mathematics, the physical and social sciences, and any field where stochastic modeling is used.
A submission to Applied Probability represents a submission that may, at the Editor-in-Chief’s discretion, appear in either the Journal of Applied Probability or the Advances in Applied Probability. Typically, shorter papers appear in the Journal, with longer contributions appearing in the Advances.
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