On the variance of single-run unbiased stochastic derivative estimators
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Publication:3386773
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Cited in
(8)- Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning
- Copula sensitivity analysis for portfolio credit derivatives
- On the optimal design of the randomized unbiased Monte Carlo estimators
- On comparison of steady-state infinitesimal perturbation analysis and likelihood ratio derivative estimates
- Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient
- Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
- A New Likelihood Ratio Method for Training Artificial Neural Networks
- Constructing unbiased gradient estimators with finite variance for conditional stochastic optimization
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