Stochastic algorithmic differentiation of (expectations of) discontinuous functions (indicator functions) (Q5063446)
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scientific article; zbMATH DE number 7494120
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| English | Stochastic algorithmic differentiation of (expectations of) discontinuous functions (indicator functions) |
scientific article; zbMATH DE number 7494120 |
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Stochastic algorithmic differentiation of (expectations of) discontinuous functions (indicator functions) (English)
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21 March 2022
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algorithmic differentiation
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adjoint automatic differentiation
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Monte Carlo simulation
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indicator function
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object oriented implementation
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variance reduction
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0.7924947738647461
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0.7399978041648865
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0.7143110036849976
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0.7054370045661926
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