Perturbation realization, potentials, and sensitivity analysis of Markov processes

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	Perturbation realization, potentials, and sensitivity analysis of Markov processes
	Cao, XR ; Chen, HF
	1997-10-01
发表期刊	IEEE TRANSACTIONS ON AUTOMATIC CONTROL
ISSN	0018-9286
卷号	42 期号:10 页码:1382-1393
摘要	Two fundamental concepts and quantities, realization factors and performance potentials, are introduced for Markov processes. The relations among these two quantities and the group inverse of the infinitesimal generator are studied. It is shown that the sensitivity of the steady-state performance with respect to the change of the infinitesimal generator can be easily calculated by using either of these three quantities and that these quantities can be estimated by analyzing a single sample path of a Markov process. Based on these results, algorithms for estimating performance sensitivities on a single sample path of a Markov process can be proposed. The potentials in this paper are defined through realization factors and are shown to be the same as those defined by Poisson equations. The results provide a uniform framework of perturbation realization for infinitesimal perturbation analysis (IPA) and non-IPA approaches to the sensitivity analysis of steady-state performance; they also pro,ide a theoretical background for the PA algorithms developed in recent years.
关键词	perturbation analysis Poisson equations sample-path analysis
语种	英语
WOS研究方向	Automation & Control Systems ; Engineering
WOS类目	Automation & Control Systems ; Engineering, Electrical & Electronic
WOS记录号	WOS:A1997YA83800004
出版者	IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/13260
专题	中国科学院数学与系统科学研究院
作者单位	1.HONG KONG UNIV SCI & TECHNOL, KOWLOON, HONG KONG 2.CHINESE ACAD SCI, INST SYST SCI, BEIJING 100080, PEOPLES R CHINA
推荐引用方式 GB/T 7714	Cao, XR,Chen, HF. Perturbation realization, potentials, and sensitivity analysis of Markov processes[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL,1997,42(10):1382-1393.
APA	Cao, XR,&Chen, HF.(1997).Perturbation realization, potentials, and sensitivity analysis of Markov processes.IEEE TRANSACTIONS ON AUTOMATIC CONTROL,42(10),1382-1393.
MLA	Cao, XR,et al."Perturbation realization, potentials, and sensitivity analysis of Markov processes".IEEE TRANSACTIONS ON AUTOMATIC CONTROL 42.10(1997):1382-1393.