Abstract
Using a birth and death process as an illustrative example, we introduce the notion of alternative representations of stochastic processes and discuss its importance for infinitesimal perturbation analysis derivative estimation. Through a different choice of representation, we are led to an IPA algorithm for a birth and death process better than one discussed by other authors.
Full Citation
Operations Research Letters
vol.
7
,
(February 01, 1988):
43
-49
.