Regression models augmented with direct stochastic gradient estimators

DOI10.1287/IJOC.2013.0579MaRDI QIDQ2940536zbMATH OpenOpenAlexFDO

Authors Michael C. Fu, Huashuai Qu

Publication date 27 January 2015

Published in INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/6018c45c722d92199c4a051c2b44e2c72094f912

zbMATH Keywords

perturbation analysisregressionresponse surface methodologystochastic gradient estimationstochastic simulation

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05)

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Cites work

• A methodology for fitting and validating metamodels in simulation
• A new approach to optimal design for linear models with correlated observations
• Bayesian Design and Analysis of Computer Experiments: Use of Derivatives in Surface Prediction
• Convergence of a stochastic approximation algorithm for the GI/G/1 queue using infinitesimal perturbation analysis
• Enhancing stochastic kriging metamodels with gradient estimators
• scientific article; zbMATH DE number 439951 (Why is no real title available?)
• scientific article; zbMATH DE number 50675 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• Optimizing discrete event dynamic systems via the gradient surface method
• Perturbation Analysis Gives Strongly Consistent Sensitivity Estimates for the M/G/1 Queue
• Stochastic kriging for simulation metamodeling
• Stochastic Optimization by Simulation: Numerical Experiments with the M/M/1 Queue in Steady-State
• Stochastic simulation: Algorithms and analysis
• What you should know about simulation and derivatives

Cited in

(4)

• Optimal computing budget allocation for regression with gradient information
• Gradient Extrapolated Stochastic Kriging
• A new options pricing method: semi-stochastic kernel regression method with constraints
• Nonparametric estimation via partial derivatives

Describes a project that uses

Uses Software

• alr3

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