DocumentCode
2895026
Title
An overview of derivative estimation
Author
L´Ecuyer, Pierre
Author_Institution
Dept. d´´IRO, Montreal Univ., Que., Canada
fYear
1991
fDate
8-11 Dec 1991
Firstpage
207
Lastpage
217
Abstract
The author explains the main techniques for estimating derivatives by simulation and surveys the most recent developments in that area. In particular, he discusses perturbation analysis, likelihood ratios, weak derivatives, finite differences, and many of their variants. Some other approaches are also mentioned. The emphasis is on the relationships between the methods. For that purpose, they are presented in the same framework
Keywords
difference equations; differentiation; estimation theory; perturbation techniques; reviews; simulation; derivative estimation; finite differences; likelihood ratios; perturbation analysis; simulation; weak derivatives; Analytical models; Costs; Finite difference methods; Interpolation; Performance analysis; Sensitivity analysis; Time measurement;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference, 1991. Proceedings., Winter
Conference_Location
Phoenix, AZ
Print_ISBN
0-7803-0181-1
Type
conf
DOI
10.1109/WSC.1991.185617
Filename
185617
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