AN OVERVIEW OF DERIVATIVE ESTIMATIONPierre L ' EcuyerD
نویسنده
چکیده
We explain the main techniques for estimating derivatives by simulation and survey the most recent developments in that area. In particular, we discuss perturbation analysis (PA), likelihood ratios (LR), weak derivatives (WD), nite diierences (FD), and many of their variants. We also mention some other approaches. Our discussion emphasizes the relationships between the methods. For that purpose, all of them are presented in the same framework, which is based on L'Ecuyer (1990).
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تاریخ انتشار 1991