Second derivative estimation using harmonic analysis
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Publication:1805492
DOI10.1007/BF02136841zbMath0817.62074MaRDI QIDQ1805492
Publication date: 18 May 1995
Published in: Annals of Operations Research (Search for Journal in Brave)
harmonic analysisvariancebiasvariance reductiongradient estimatorssimulation optimizationharmonic gradient estimatorsfinite differences second derivative estimatorsHessian estimatorsHFD estimatorsoptimal mean squared error convergence ratessecond derivative estimatorssimulation sensitivity analysis
Non-Markovian processes: estimation (62M09) Point estimation (62F10) Applications of statistics (62P99) Probabilistic methods, stochastic differential equations (65C99)
Cites Work
- Time series: theory and methods
- Optimal mean squared error analysis of the harmonic gradient estimators
- Optimization via simulation: A review
- Variance and bias reduction techniques for the harmonic gradient estimator
- A Unified View of the IPA, SF, and LR Gradient Estimation Techniques
- Convergence of parameter sensitivity estimates in a stochastic experiment
- Structural Conditions for Perturbation Analysis Derivative Estimation: Finite-Time Performance Indices
- Driving Frequency Selection for Frequency Domain Simulation Experiments
- Some Guidelines and Guarantees for Common Random Numbers
- Simulation Factor Screening Using Harmonic Analysis
- Convergence Results for Harmonic Gradient Estimators
- Sensitivity Analysis for Simulations via Likelihood Ratios
- Second Derivative Sample Path Estimators for the GI/G/m Queue
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