Variance reduction for generalized likelihood ratio method by conditional Monte Carlo and randomized Quasi-Monte Carlo methods-Reference-Cited by-同舟云学术

Variance reduction for generalized likelihood ratio method by conditional Monte Carlo and randomized Quasi-Monte Carlo methods

Published:2022-12 Issue:4 Volume:7 Page:550-577
ISSN:2096-2320
Container-title:Journal of Management Science and Engineering
language:en
Short-container-title:Journal of Management Science and Engineering

Author:

Peng Yijie,Fu Michael C.,Hu Jiaqiao,L’Ecuyer Pierre,Tuffin Bruno

Funder

Air Force Office of Scientific Research

Natural Sciences and Engineering Research Council of Canada

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Management of Technology and Innovation,Strategy and Management,Engineering (miscellaneous),Business and International Management,Control and Systems Engineering,Management Information Systems,General Decision Sciences

Reference47 articles.

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1. Likelihood Ratio Density Estimation for Simulation Models;2022 Winter Simulation Conference (WSC);2022-12-11

2. Density Estimation by Monte Carlo and Quasi-Monte Carlo;Springer Proceedings in Mathematics & Statistics;2022

3. Combined Derivative Estimators;Advances in Modeling and Simulation;2022