Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient

DOI10.1016/J.ORL.2022.01.012MaRDI QIDQ2670503zbMATH OpenOpenAlexFDO

Authors Yanchu Liu, Ruodu Wang, Zhenyu Cui

Publication date 11 March 2022

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2022.01.012

zbMATH Keywords

infinitesimal perturbation analysislikelihood ratiooption deltastochastic gradientvariance comparison

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Recommendations

• Exploration of the (non-)asymptotic bias and variance of stochastic gradient Langevin dynamics
• Likelihood ratio gradient estimation for stochastic recursions
• An analysis of stochastic variance reduced gradient for linear inverse problems ^*
• Asymptotic and finite-sample properties of estimators based on stochastic gradients
• Statistical inference for model parameters in stochastic gradient descent
• Optimal random perturbations for stochastic approximation using a simultaneous perturbation gradient approximation
• The inverse variance-flatness relation in stochastic gradient descent is critical for finding flat minima
• Likelihood ratio gradient estimation for steady-state parameters
• scientific article; zbMATH DE number 124608

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A jump-diffusion model for option pricing
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Estimating quantile sensitivities
• Estimating Security Price Derivatives Using Simulation
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• Monte Carlo gradient estimation in machine learning
• On the variance of single-run unbiased stochastic derivative estimators
• Option pricing when underlying stock returns are discontinuous
• The Variance Gamma Process and Option Pricing

Cited in

(2)

• On the variance of single-run unbiased stochastic derivative estimators
• On comparison of steady-state infinitesimal perturbation analysis and likelihood ratio derivative estimates

This page was built for publication: Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2670503)