Bayesian inference relies heavily on numerical Markov chain Monte carlo (MCMC) methods for the estimation of the typically intractable high-dimensional posterior distributions and requires specific inputs. In this paper we introduce a new general and efficient numerical approach to address...

Infinitesimal perturbation analysis is a widely used approach to assess the input sensitivities of stochas- tic dynamic systems in the classical simulation context. In this paper, we introduce an efficient nu- merical approach to undertake Infinitesimal perturbation analysis in the context of...