Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient
Year of publication: |
2022
|
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Authors: | Cui, Zhenyu ; Liu, Yanchu ; Wang, Ruodu |
Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 50.2022, 2, p. 199-204
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Subject: | Infinitesimal perturbation analysis | Likelihood ratio | Option delta | Stochastic gradient | Variance comparison | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory |
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