Name
Title | ||
|---|---|---|
A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters |
Abstract | ||
|---|---|---|
AbstractIn this paper, we propose a new unbiased stochastic derivative estimator in a framework that can handle discontinuous sample performances with structural parameters. This work extends the three most popular unbiased stochastic derivative estimators: (1) infinitesimal perturbation analysis (IPA), (2) the likelihood ratio (LR) method, and (3) the weak derivative method, to a setting where they did not previously apply. Examples in probability constraints, control charts, and financial derivatives demonstrate the broad applicability of the proposed framework. The new estimator preserves the single-run efficiency of the classic IPA-LR estimators in applications, which is substantiated by numerical experiments.The online appendix is available at https://doi.org/10.1287/opre.2017.1674. |
Year | DOI | Venue |
|---|---|---|
2018 | 10.1287/opre.2017.1674 | Periodicals |
Keywords | Field | DocType |
simulation,stochastic derivative estimation,discontinuous sample performance,likelihood ratio,perturbation analysis,weak derivative | Applied mathematics,Mathematical optimization,Weak derivative,Perturbation theory,Infinitesimal perturbation analysis,Control chart,Mathematics,Derivative (finance),Estimator | Journal |
Volume | Issue | ISSN |
66 | 2 | 0030-364X |
Citations | PageRank | References |
2 | 0.37 | 0 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Yijie Peng | 1 | 32 | 12.59 |
| Michael C. Fu | 2 | 1161 | 128.16 |
| Jian-Qiang Hu | 3 | 304 | 39.79 |
| Bernd Heidergott | 4 | 127 | 23.31 |