Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient-Reference-Cited by-同舟云学术

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Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient

Published:2022-03 Issue:2 Volume:50 Page:199-204
ISSN:0167-6377
Container-title:Operations Research Letters
language:en
Short-container-title:Operations Research Letters

Author:

Cui Zhenyu,Liu Yanchu^ORCID,Wang Ruodu

Publisher

Elsevier BV

Subject

Applied Mathematics,Industrial and Manufacturing Engineering,Management Science and Operations Research,Software

Reference11 articles.

1. Estimating security price derivatives using simulation;Broadie;Manag. Sci.,1996

2. On the variance of single-run unbiased stochastic derivative estimators;Cui;INFORMS J. Comput.,2020

3. Applications of Malliavin calculus to Monte Carlo methods in finance;Fournié;Finance Stoch.,1999

4. Conditional Monte Carlo: Gradient Estimation and Optimization Applications, vol. 392;Fu,2012

5. Monte Carlo Methods in Financial Engineering;Glasserman,2004

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. On comparison of steady-state infinitesimal perturbation analysis and likelihood ratio derivative estimates;Discrete Event Dynamic Systems;2023-05-23

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