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On the interchange of derivative and expectation for likelihood ratio derivative estimators

Author:

Pierre L'EcuyerAuthors Info & Claims

Management Science, Volume 41, Issue 4

Pages 738 - 748

Published: 01 April 1995 Publication History

Abstract

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Glynn PLam HJohansson BJain S(2018)Constructing simulation output intervals under input uncertainty via data sectioningProceedings of the 2018 Winter Simulation Conference10.5555/3320516.3320707(1551-1562)Online publication date: 9-Dec-2018
https://dl.acm.org/doi/10.5555/3320516.3320707
Wu JPoloczek MWilson AFrazier P(2017)Bayesian optimization with gradientsProceedings of the 31st International Conference on Neural Information Processing Systems10.5555/3295222.3295279(5273-5284)Online publication date: 4-Dec-2017
https://dl.acm.org/doi/10.5555/3295222.3295279
(2014)American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis ApproachOperations Research10.1287/opre.2014.127362:3(616-632)Online publication date: 1-Jun-2014
https://dl.acm.org/doi/10.1287/opre.2014.1273
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On the interchange of derivative and expectation for likelihood ratio derivative estimators
1. Mathematics of computing
  1. Mathematical analysis
    1. Functional analysis
      1. Approximation
  2. Probability and statistics
    1. Probabilistic algorithms
    2. Probabilistic reasoning algorithms
      1. Markov-chain Monte Carlo methods
      2. Sequential Monte Carlo methods
2. Theory of computation
  1. Design and analysis of algorithms
    1. Approximation algorithms analysis

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Published In

Management Science Volume 41, Issue 4

April 1995

37 pages

ISSN:0025-1909

Editor:
Gabriel R. Bitran
Massachusetts Institute of Technology, Cambridge

Issue’s Table of Contents

Publisher

INFORMS

Linthicum, MD, United States

Publication History

Published: 01 April 1995

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Glynn PLam HJohansson BJain S(2018)Constructing simulation output intervals under input uncertainty via data sectioningProceedings of the 2018 Winter Simulation Conference10.5555/3320516.3320707(1551-1562)Online publication date: 9-Dec-2018
https://dl.acm.org/doi/10.5555/3320516.3320707
Wu JPoloczek MWilson AFrazier P(2017)Bayesian optimization with gradientsProceedings of the 31st International Conference on Neural Information Processing Systems10.5555/3295222.3295279(5273-5284)Online publication date: 4-Dec-2017
https://dl.acm.org/doi/10.5555/3295222.3295279
(2014)American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis ApproachOperations Research10.1287/opre.2014.127362:3(616-632)Online publication date: 1-Jun-2014
https://dl.acm.org/doi/10.1287/opre.2014.1273
Qu HRyzhov IFu MHill RKuhl M(2013)Learning logistic demand curves in business-to-business pricingProceedings of the 2013 Winter Simulation Conference: Simulation: Making Decisions in a Complex World10.5555/2675983.2675987(29-40)Online publication date: 8-Dec-2013
https://dl.acm.org/doi/10.5555/2675983.2675987
Kim SHenderson STew J(2007)Non-linear control variates for regenerative steady-state simulationProceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come10.5555/1351542.1351630(430-438)Online publication date: 9-Dec-2007
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Kim SNicol DFujimoto R(2006)Gradient-based simulation optimizationProceedings of the 38th conference on Winter simulation10.5555/1218112.1218146(159-167)Online publication date: 3-Dec-2006
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Ahmed MAlkhamis T(2005)An efficient performance extrapolation for queuing models in transient analysisProceedings of the 37th conference on Winter simulation10.5555/1162708.1162861(878-885)Online publication date: 4-Dec-2005
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Ahmed MAlkhamis T(2004)Sensitivity analysis for transient single server queuing models using an interpolation approachProceedings of the 36th conference on Winter simulation10.5555/1161734.1162013(1519-1524)Online publication date: 5-Dec-2004
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Atlason JEpelman MHenderson SFerrin DMorrice D(2003)Customer relations management: service operationsProceedings of the 35th conference on Winter simulation: driving innovation10.5555/1030818.1031068(1824-1832)Online publication date: 7-Dec-2003
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L'Ecuyer P(1993)Two approaches for estimating the gradient in functional formProceedings of the 25th conference on Winter simulation10.1145/256563.256663(338-346)Online publication date: 1-Dec-1993
https://dl.acm.org/doi/10.1145/256563.256663

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On comparison of steady-state infinitesimal perturbation analysis and likelihood ratio derivative estimates

Note: On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators

Monte Carlo methods for derivatives of options with discontinuous payoffs

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