Sensitivity estimation for Gaussian systems
From MaRDI portal
Publication:2426571
DOI10.1016/j.ejor.2007.04.004zbMath1330.62332OpenAlexW2168510061MaRDI QIDQ2426571
Warren Volk-Makarewicz, Felisa J. Vázquez-Abad, Bernd F. Heidergott
Publication date: 22 April 2008
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2007.04.004
efficient estimationinfinitesimal perturbation analysisscore functiondouble-sided Maxwell distributiongeneration of random variablesmeasure-valued derivatives
Density estimation (62G07) Non-Markovian processes: estimation (62M09) Stochastic network models in operations research (90B15)
Related Items
Efficient price sensitivity estimation of financial derivatives by weak derivatives, Unnamed Item, Stochastic derivative estimation for max-stable random fields, On comparison of steady-state infinitesimal perturbation analysis and likelihood ratio derivative estimates, Sensitivity analysis of ranked data: from order statistics to quantiles, Unnamed Item, A perturbation analysis approach to phantom estimators for waiting times in the \(G/G/1\) queue, A Measure-Valued Differentiation Approach to Sensitivities of Quantiles, Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation
Cites Work