Pathwise estimation of probability sensitivities through terminating or steady-state simulations

Operations Research

Volumn 58, Issue 2, 2010, Pages 357-370

  Hong, L Jeff ^a   Liu, Guangwu ^b  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Gradient estimation; Perturbation analysis; Probability function; Stochastic simulation

Indexed keywords

CENTRAL LIMIT THEOREM; GRADIENT ESTIMATION; IMPORTANCE SAMPLING; INDICATOR FUNCTIONS; OPTIMAL RATE OF CONVERGENCE; PERTURBATION ANALYSIS; PROBABILITY FUNCTIONS; RATE OF CONVERGENCE; SAMPLE SIZES; SENSITIVITY ESTIMATION; STATISTICAL ESTIMATION; STEADY-STATE SIMULATIONS; STOCHASTIC SIMULATIONS;

APPROXIMATION THEORY; ELECTRON TRANSITIONS; PROBABILITY; PROBABILITY DENSITY FUNCTION; SAMPLING; STOCHASTIC MODELS; STOCHASTIC SYSTEMS;

ESTIMATION;

EID: 77951186786     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.1090.0739     Document Type: Article

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