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dc.contributor.authorFu, Michael C.en_US
dc.date.accessioned2007-05-23T10:17:55Z
dc.date.available2007-05-23T10:17:55Z
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/1903/6556
dc.description.abstractWe 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.en_US
dc.format.extent334736 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoen_USen_US
dc.relation.ispartofseriesISR; TR 2005-93en_US
dc.titleStochastic Gradient Estimationen_US
dc.typeTechnical Reporten_US
dc.contributor.departmentISRen_US


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