On the Convergence Rates of IPA and FDC Derivative Estimators

DOI10.1287/opre.42.4.643zbMath0863.65096OpenAlexW2029259308MaRDI QIDQ4319753

Pierre L'Ecuyer, Gaétan Perron

Publication date: 6 February 1995

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

Full work available at URL: https://doi.org/10.1287/opre.42.4.643

zbMATH Keywords

convergencefinite difference schemeperformance measuresderivative estimationinfinitesimal perturbation analysiscommon random numbersdiscrete-event stochastic systemstruncated-horizon estimators

Mathematics Subject Classification ID

Point estimation (62F10) Numerical differentiation (65D25) Probabilistic methods, stochastic differential equations (65C99)

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