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Please use this identifier to cite or link to this item:
http://hdl.handle.net/1903/2298
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| Title: | Stochastic Gradient Estimation |
| Authors: | Fu, Michael C. |
| Type: | Book chapter |
| Keywords: | simulation
gradient estimation
perturbation analysis
likelihood ratio method
weak derivatives |
| Issue Date: | 1-Jul-2005 |
| Abstract: | We consider the problem of efficiently estimating gradients
from stochastic simulation.
Although the primary motivation is their use in simulation optimization,
the resulting estimators can also be useful in other ways,
e.g., sensitivity analysis.
The main approaches described are finite differences
(including simultaneous perturbations),
perturbation analysis,
the likelihood ratio/score function method,
and the use of weak derivatives. |
| Description: | This is a pre-print version of Chapter 19 in
Handbooks in Operations Research and
Management Science: Simulation,
S.G. Henderson and B.L. Nelson, eds., Elsevier. |
| URI: | http://hdl.handle.net/1903/2298 |
| Appears in Collections: | Decision, Operations & Information Technologies Research Works
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