On the variance of single-run unbiased stochastic derivative estimators
From MaRDI portal
Publication:3386773
Authors:
Publication date: 7 January 2021
Recommendations
- A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
- Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient
- On comparison of steady-state infinitesimal perturbation analysis and likelihood ratio derivative estimates
- Constructing unbiased gradient estimators with finite variance for conditional stochastic optimization
- Note: On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators
simulationvarianceinfinitesimal perturbation analysislikelihood ratio methodstochastic derivative estimation
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Stochastic simulation: Algorithms and analysis
- Title not available (Why is that?)
- A Unified View of the IPA, SF, and LR Gradient Estimation Techniques
- Note: On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators
- Introduction to Discrete Event Systems
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
- Estimating quantile sensitivities
- Title not available (Why is that?)
- Estimating Security Price Derivatives Using Simulation
- Weak Differentiability of Product Measures
- Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue
- Malliavin Greeks without Malliavin calculus
- Title not available (Why is that?)
- Simulating Stable Stochastic Systems: III. Regenerative Processes and Discrete-Event Simulations
- Optimisation of a single-component maintenance system: A smoothed perturbation analysis approach
- Title not available (Why is that?)
- Smoothed (conditional) perturbation analysis of discrete event dynamical systems
- Conditional Monte Carlo estimation of quantile sensitivities
- Estimating sensitivities of portfolio credit risk using Monte Carlo
- Sensitivity estimation for Gaussian systems
- Sensitivity analysis for Monte Carlo simulation of option pricing
- What you should know about simulation and derivatives
- Sample Path Derivatives for (s, S) Inventory Systems
- Algebraic structure of some stochastic discrete event systems, with applications
- Variance properties of sample path derivatives of parametric random variables
- Second Derivative Sample Path Estimators for the GI/G/m Queue
- Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
- Importance sampling for option Greeks with discontinuous payoffs
- Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck stochastic volatility models
- A measure-valued differentiation approach to sensitivities of quantiles
- American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
- A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
- Efficient design and sensitivity analysis of control charts using Monte Carlo simulation
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
Uses Software
This page was built for publication: On the variance of single-run unbiased stochastic derivative estimators
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3386773)
