article

On the interchange of derivative and expectation for likelihood ratio derivative estimators

Author:

Pierre L'EcuyerAuthors Info & Claims

Management Science, Volume 41, Issue 4

Pages 738 - 748

Published: 01 April 1995 Publication History

Abstract

No abstract available.

Cited By

View all

Glynn PLam HJohansson BJain S(2018)Constructing simulation output intervals under input uncertainty via data sectioningProceedings of the 2018 Winter Simulation Conference10.5555/3320516.3320707(1551-1562)Online publication date: 9-Dec-2018
https://dl.acm.org/doi/10.5555/3320516.3320707
Wu JPoloczek MWilson AFrazier P(2017)Bayesian optimization with gradientsProceedings of the 31st International Conference on Neural Information Processing Systems10.5555/3295222.3295279(5273-5284)Online publication date: 4-Dec-2017
https://dl.acm.org/doi/10.5555/3295222.3295279
(2014)American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis ApproachOperations Research10.1287/opre.2014.127362:3(616-632)Online publication date: 1-Jun-2014
https://dl.acm.org/doi/10.1287/opre.2014.1273
Show More Cited By

Index Terms

On the interchange of derivative and expectation for likelihood ratio derivative estimators
1. Mathematics of computing
  1. Mathematical analysis
    1. Functional analysis
      1. Approximation
  2. Probability and statistics
    1. Probabilistic algorithms
    2. Probabilistic reasoning algorithms
      1. Markov-chain Monte Carlo methods
      2. Sequential Monte Carlo methods
2. Theory of computation
  1. Design and analysis of algorithms
    1. Approximation algorithms analysis

Recommendations

On comparison of steady-state infinitesimal perturbation analysis and likelihood ratio derivative estimates
Abstract
In this paper, we compare the infinitesimal perturbation analysis (IPA) and likelihood ratio (LR) derivative estimators for the steady-state system time of the M/M/1 queue. We derive the explicit formulas for the variances of both estimators. We ...
Note: On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators

Sufficient conditions for the validity of interchange between derivative and expectation, in the context of likelihood ratio gradient estimation, were given in L'Ecuyer 1990. The aim of this paper is to shed additional light on these conditions and ...
Monte Carlo methods for derivatives of options with discontinuous payoffs

Various Monte Carlo methods have been proposed to estimate the derivatives of contingent claims prices. The Monte Carlo approximate likelihood ratio estimator is studied. Recent convergence results are extended in order to show that the Monte Carlo ...

Comments

Please enable JavaScript to view thecomments powered by Disqus.

Information & Contributors

Information

Published In

Management Science Volume 41, Issue 4

April 1995

37 pages

ISSN:0025-1909

Editor:
Gabriel R. Bitran
Massachusetts Institute of Technology, Cambridge

Issue’s Table of Contents

Publisher

INFORMS

Linthicum, MD, United States

Publication History

Published: 01 April 1995

Author Tags

Qualifiers

Article

Contributors

Other Metrics

View Article Metrics

Bibliometrics & Citations

Bibliometrics

Article Metrics

10
Total Citations
View Citations
0
Total Downloads

Downloads (Last 12 months)0
Downloads (Last 6 weeks)0

Reflects downloads up to 01 Oct 2024

Other Metrics

View Author Metrics

Citations

Cited By

View all

Glynn PLam HJohansson BJain S(2018)Constructing simulation output intervals under input uncertainty via data sectioningProceedings of the 2018 Winter Simulation Conference10.5555/3320516.3320707(1551-1562)Online publication date: 9-Dec-2018
https://dl.acm.org/doi/10.5555/3320516.3320707
Wu JPoloczek MWilson AFrazier P(2017)Bayesian optimization with gradientsProceedings of the 31st International Conference on Neural Information Processing Systems10.5555/3295222.3295279(5273-5284)Online publication date: 4-Dec-2017
https://dl.acm.org/doi/10.5555/3295222.3295279
(2014)American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis ApproachOperations Research10.1287/opre.2014.127362:3(616-632)Online publication date: 1-Jun-2014
https://dl.acm.org/doi/10.1287/opre.2014.1273
Qu HRyzhov IFu MHill RKuhl M(2013)Learning logistic demand curves in business-to-business pricingProceedings of the 2013 Winter Simulation Conference: Simulation: Making Decisions in a Complex World10.5555/2675983.2675987(29-40)Online publication date: 8-Dec-2013
https://dl.acm.org/doi/10.5555/2675983.2675987
Kim SHenderson STew J(2007)Non-linear control variates for regenerative steady-state simulationProceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come10.5555/1351542.1351630(430-438)Online publication date: 9-Dec-2007
https://dl.acm.org/doi/10.5555/1351542.1351630
Kim SNicol DFujimoto R(2006)Gradient-based simulation optimizationProceedings of the 38th conference on Winter simulation10.5555/1218112.1218146(159-167)Online publication date: 3-Dec-2006
https://dl.acm.org/doi/10.5555/1218112.1218146
Ahmed MAlkhamis T(2005)An efficient performance extrapolation for queuing models in transient analysisProceedings of the 37th conference on Winter simulation10.5555/1162708.1162861(878-885)Online publication date: 4-Dec-2005
https://dl.acm.org/doi/10.5555/1162708.1162861
Ahmed MAlkhamis T(2004)Sensitivity analysis for transient single server queuing models using an interpolation approachProceedings of the 36th conference on Winter simulation10.5555/1161734.1162013(1519-1524)Online publication date: 5-Dec-2004
https://dl.acm.org/doi/10.5555/1161734.1162013
Atlason JEpelman MHenderson SFerrin DMorrice D(2003)Customer relations management: service operationsProceedings of the 35th conference on Winter simulation: driving innovation10.5555/1030818.1031068(1824-1832)Online publication date: 7-Dec-2003
https://dl.acm.org/doi/10.5555/1030818.1031068
L'Ecuyer P(1993)Two approaches for estimating the gradient in functional formProceedings of the 25th conference on Winter simulation10.1145/256563.256663(338-346)Online publication date: 1-Dec-1993
https://dl.acm.org/doi/10.1145/256563.256663

View Options

View options

Get Access

Login options

Check if you have access through your login credentials or your institution to get full access on this article.

Abstract

Cited By

Index Terms

Recommendations

On comparison of steady-state infinitesimal perturbation analysis and likelihood ratio derivative estimates

Note: On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators

Monte Carlo methods for derivatives of options with discontinuous payoffs

Comments

Information

Published In

Publisher

Publication History

Author Tags

Qualifiers

Contributors

Other Metrics

Bibliometrics

Article Metrics

Other Metrics

Citations

Cited By

View options

Get Access

Login options

Full Access

Figures

Other

Share

Share this Publication link

Share on social media

Affiliations