Sensitivity analysis via simulation in the presence of discontinuities (Q706371)

The paper considers the problem of estimating derivatives, in cases where smoothness properties are not fulfilled. The study explores the applicability and effectiveness of the following three methods: finite differences, infinitesimal perturbation analysis and likelihood ratio score function. Within this context, it is shown that the infinitesimal perturbation analysis and the likelihood ratio score function are mathematically equivalent. Some examples are used for illustrating the importance of the theoretical results.