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Likelilood ratio gradient estimation

Peter W. Glynn (University of Wisconsin–Madison)

Winter Simulation Conference
DOI: 10.1145/318371.318612 (Decision Sciences)
License: not stated (all rights reserved)

Abstract: The likelihood ratio method for gradient estimation is briefly surveyed. Two applications settings are described, namely Monte Carlo optimization and statistical analysis of complex stochastic systems. Steady-state gradient estimation is emphasized, and both regenerative and non-regenerative approaches are given. The paper also indicates how these methods apply to general discrete-event simulations; the idea is to view such systems as general state space Markov chains.

Published on 01 Jan. 1987