On the variance of single-run unbiased stochastic derivative estimators
Zhenyu Cui, Michael C. Fu, Jian-Qiang Hu, Yanchu Liu, Yijie Peng, Lingjiong Zhu
| Year of publication: |
2020
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|---|---|
| Authors: | Cui, Zhenyu ; Fu, Michael ; Hu, Jian-Qiang ; Liu, Yanchu ; Peng, Yijie ; Zhu, Lingjiong |
| Published in: |
INFORMS journal on computing : JOC. - Catonsville, MD : INFORMS, ISSN 1091-9856, ZDB-ID 1316077-1. - Vol. 32.2020, 2, p. 390-407
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| Subject: | simulation | stochastic derivative estimation | variance | infinitesimal perturbation analysis | likelihood ratio method | Derivat | Derivative | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/ijoc.2019.0897 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012242769