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Gradient estimation
Fu, Michael - In: Simulation, (pp. 575-616). 2006
Persistent link: https://www.econbiz.de/10003588046
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A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives
Wang, Yongqiang; Fu, Michael; Marcus, Steven I. - In: Operations research 60 (2012) 2, pp. 447-460
Persistent link: https://www.econbiz.de/10009554759
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On estimating quantile sensitivities via infinitesimal perturbation analysis
Jiang, Guangxin; Fu, Michael - In: Operations research 63 (2015) 2, pp. 435-441
Persistent link: https://www.econbiz.de/10010526698
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Regression models augmented with direct stochastic gradient estimators
Fu, Michael; Qu, Huashuai - In: INFORMS journal on computing : JOC 26 (2014) 3, pp. 484-499
Persistent link: https://www.econbiz.de/10010399808
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Conditional Monte Carlo gradient estimation in economic design of control limits
Fu, Michael; Lele, Shreevardhan; Vossen, Thomas W. M. - In: Production and operations management : an international … 18 (2009) 1, pp. 60-77
Persistent link: https://www.econbiz.de/10003827806
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Computing sensitivities for distortion risk measures
Glynn, Peter W.; Peng, Yijie; Fu, Michael; Hu, Jian-Qiang - In: INFORMS journal on computing : JOC 33 (2021) 4, pp. 1520-1532
Persistent link: https://www.econbiz.de/10012796944
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Maximum likelihood estimation by Monte Carlo simulation : toward data-driven stochastic modeling
Peng, Yijie; Fu, Michael; Heidergott, Bernd; Lam, Henry - In: Operations research 68 (2020) 6, pp. 1896-1912
Persistent link: https://www.econbiz.de/10012392175
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On the variance of single-run unbiased stochastic derivative estimators
Cui, Zhenyu; Fu, Michael; Hu, Jian-Qiang; Liu, Yanchu; … - In: INFORMS journal on computing : JOC 32 (2020) 2, pp. 390-407
Persistent link: https://www.econbiz.de/10012242769
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Optimal unbiased estimation for expected cumulative discounted cost
Cui, Zhenyu; Fu, Michael; Peng, Yijie; Zhu, Lingjiong - In: European journal of operational research : EJOR 286 (2020) 2, pp. 604-618
Persistent link: https://www.econbiz.de/10012291551
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Technical note: central limit theorems for estimated functions at estimated points
Glynn, Peter W.; Fan, Lin; Fu, Michael; Hu, Jian-Qiang; … - In: Operations research 68 (2020) 5, pp. 1557-1563
Persistent link: https://www.econbiz.de/10012301573