Peng, Yijie; Fu, Michael; Hu, Jiaqiao; L'Ecuyer, Pierre; … - In: Journal of management science and engineering 7 (2022) 4, pp. 550-577
The generalized likelihood ratio (GLR) method is a recently introduced gradient estimation method for handling discontinuities in a wide range of sample performances. We put the GLR methods from previous work into a single framework, simplify regularity conditions to justify the unbiasedness of...