Convergence Rates of Finite-Difference Sensitivity Estimates for Stochastic Systems

DOI10.1287/OPRE.41.4.694MaRDI QIDQ4272893zbMATH OpenOpenAlexFDO

Authors Michael A. Zazanis, Rajan Suri

Publication date 2 January 1994

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.41.4.694

zbMATH Keywords

finite-difference sensitivity estimatorsfinite-horizon experimentsmean square erroroptimal incrementsperformance analysisratio estimatorsregenerative systemssteady- state estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Probabilistic methods, stochastic differential equations (65C99) Estimation and detection in stochastic control theory (93E10)

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Cited in

(19)

• Generalized estimates for performance sensitivities of stochastic systems
• Sensitivity analysis and the ``what if problem in simulation analysis
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• Screening: from tornado diagrams to effective dimensions
• Gradient estimation schemes for noisy functions
• Minimax efficient finite-difference stochastic gradient estimators using black-box function evaluations
• An asymptotic test of optimality conditions in multiresponse simulation optimization
• Convergence of parameter sensitivity estimates in a stochastic experiment
• Finite-time matrix convolution integral sensitivity calculations
• A Monte Carlo Method for Sensitivity Analysis and Parametric Optimization of Nonlinear Stochastic Systems: The Ergodic Case
• Two-point methods for assessing variability in simulation output
• Unbiased and efficient Greeks of financial options
• Forward sensitivity analysis for contracting stochastic systems
• Approximate computation of Madaline sensitivity based on discrete stochastic technique
• Derivative-free optimization via finite difference approximation: an experimental study
• Modifications of generalized response surface methodology for constrained stochastic optimization problems
• Gradient estimation using Lagrange interpolation polynomials

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