Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient

DOI10.1016/j.orl.2022.01.012OpenAlexW4226432947MaRDI QIDQ2670503

Yanchu Liu, Ruodu Wang, Zhen-Yu Cui

Publication date: 11 March 2022

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2022.01.012

zbMATH Keywords

likelihood ratioinfinitesimal perturbation analysisstochastic gradientoption deltavariance comparison

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (1)

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

Cites Work

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