Smoothing complements and randomized score functions

DOI10.1007/BF02060935zbMath0771.62024MaRDI QIDQ1207836

Paul Glasserman

Publication date: 16 May 1993

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

conditional expectationconditioninginfinitesimal perturbation analysisscore function methodindirect derivative estimatorIPA estimatorslikelihood ratio derivative estimatorsmultiplicative smoothingrandomized score functionsmoothing complement

Mathematics Subject Classification ID

Parametric inference (62F99) Applications of statistics (62P99)

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An exact method for the sensitivity analysis of systems simulated by rejection techniques ⋮ Recourse-based stochastic nonlinear programming: properties and Benders-SQP algorithms ⋮ Decomposable score function estimators for sensitivity analysis and optimization of queueing networks

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