Title :
Gradient estimation for ratios
Author :
Glynn, Peter W. ; L´Ecuyer, P. ; Adès, Michel
Author_Institution :
Dept. of Oper. Res., Stanford Univ., CA, USA
Abstract :
The authors consider the interplay between gradient estimation and ratio estimation. Given unbiased estimators for the numerator and the denominator of the ratio, as well as their gradients, joint central-limit theorems for the ratio and its gradient are derived. The resulting confidence regions are of potential interest when optimizing such ratios numerically, or for sensitivity analysis with respect to parameters whose exact value is unknown. Low-bias estimation for the gradient of a ratio is discussed
Keywords :
estimation theory; statistics; central-limit theorems; confidence regions; gradient estimation; ratio estimation; sensitivity analysis; statistics; unbiased estimators; Computational modeling; Costs; Delay; Iterative algorithms; Random variables; Sections; Sensitivity analysis; State estimation; Steady-state; Stochastic processes;
Conference_Titel :
Simulation Conference, 1991. Proceedings., Winter
Conference_Location :
Phoenix, AZ
Print_ISBN :
0-7803-0181-1
DOI :
10.1109/WSC.1991.185714
