Estimating Distribution Sensitivity Using Generalized Likelihood Ratio Method

被引：0

作者：

Peng, Yijie ^{[1
]}

Fu, Michael C. ^{[2
]}

Hu, Jian-Qiang ^{[1
]}

机构：

[1] Fudan Univ, Sch Management, Shanghai 200433, Peoples R China

[2] Univ Maryland, Robert H Smith Sch Business, College Pk, MD 20740 USA

来源：

2016 13TH INTERNATIONAL WORKSHOP ON DISCRETE EVENT SYSTEMS (WODES) | 2016年

关键词：

simulation; stochastic derivative estimation; distribution sensitivity; perturbation analysis; likelihood ratio method; ESTIMATING QUANTILE SENSITIVITIES; GRADIENT ESTIMATION; PERTURBATION ANALYSIS; DERIVATIVES; SIMULATION; SYSTEMS;

D O I：

暂无

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

We propose a generalized likelihood ratio estimator for the distribution sensitivity in a general framework. Applications on quantile sensitivity, sensitivity of distortion risk measure, and gradient-based maximum likelihood estimation are put together under a single umbrella, and addressed uniformly by the proposed estimator. Numerical experiments substantiate the efficiency of the new method.

引用

页码：123 / 128

页数：6

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