We theoretically compare variances between the Infinitesimal Perturbation Analysis (IPA) estimator and the Likelihood Ratio (LR) estimator to Monte Carlo gradient for stochastic systems. The conditions proposed in [Cui et al., 2020] when the IPA estimator has a smaller variance can yield sharper...

Shape-From-Shading (SFS) is one unique and long-standing problem aiming to reconstruct shape/depth from only one image. The SFS problem can be regarded as an inverse process of image rendering, i.e., solving the Bi-directional Reflection Distribution Function (BRDF) model with the given image....

In this paper, we propose a new approach for stochastic control problems arising from utility maximization. The main idea is to directly start from the dynamical programming equation and compute the conditional expectation using a novel representation of the conditional density function through...