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Gradient estimation

Fu, Michael - In: Simulation, (pp. 575-616). 2006

Persistent link: https://www.econbiz.de/10003588046

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

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

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

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

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

Optimal Unbiased Estimation for Expected Cumulative Cost

Cui, Zhenyu - 2018

We consider estimating an expected infinite-horizon cumulative cost/reward contingent on an underlying stochastic process by Monte Carlo simulation. An unbiased estimator based on truncating the cumulative cost at a random horizon is proposed. Explicit forms for the optimal distributions of the...

Persistent link: https://www.econbiz.de/10012921930

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

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

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