Sampling derivatives of probabilities

DOI10.1007/BF02243227zbMath0677.65001DBLPjournals/computing/Pflug89OpenAlexW2167425156WikidataQ59255211 ScholiaQ59255211MaRDI QIDQ1123526

S. H. Smith

Publication date: 1989

Published in: Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02243227

zbMATH Keywords

stochastic optimizationsensitivity analysisrandom variablesMonte Carlo methodsprobability measurerejection methodtransformation methoddiscrete mixturesweak derivativediscrete probabilities

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

Related Items (9)

Efficient price sensitivity estimation of financial derivatives by weak derivatives ⋮ Unnamed Item ⋮ Risk-Sensitive Reinforcement Learning via Policy Gradient Search ⋮ Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation ⋮ Decomposable score function estimators for sensitivity analysis and optimization of queueing networks ⋮ Sensitivity analysis of discrete event systems by the push out method ⋮ What you should know about simulation and derivatives ⋮ Optimization via simulation: A review ⋮ Differentiability of probability function

Cites Work

• Perturbation analysis and optimization of queueing networks
• On the invariance principle for sums of independent identically distributed random variables
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