Sensitivity analysis via simulation in the presence of discontinuities
(2004) In Mathematical Methods of Operations Research 60(1). p.29-51- Abstract
- In this paper we address the problem of estimating the mean derivative when the entity containing the parameter has jumps. The methods considered are finite differences, infinitesimal perturbation analysis and the likelihood ratio score function. We calculate the difference between the differentiated mean and the mean derivative. In case of finite differences, we compute the stepsize in the simulation that asymptotically minimizes the mean square error. We also show that the two latter methods, infinitesimal perturbation analysis and likelihood ratio score function, are mathematically equivalent.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/270736
- author
- Signahl, Mikael LU
- organization
- publishing date
- 2004
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- discontinuity, finite differences, IPA, LR
- in
- Mathematical Methods of Operations Research
- volume
- 60
- issue
- 1
- pages
- 29 - 51
- publisher
- Physica Verlag
- external identifiers
-
- wos:000223267400003
- scopus:21144454269
- ISSN
- 1432-2994
- DOI
- 10.1007/s001860400357
- language
- English
- LU publication?
- yes
- id
- 7f60e1e9-54db-4137-8e86-233ea80ed443 (old id 270736)
- date added to LUP
- 2016-04-01 15:51:01
- date last changed
- 2022-01-28 07:33:15
@article{7f60e1e9-54db-4137-8e86-233ea80ed443, abstract = {{In this paper we address the problem of estimating the mean derivative when the entity containing the parameter has jumps. The methods considered are finite differences, infinitesimal perturbation analysis and the likelihood ratio score function. We calculate the difference between the differentiated mean and the mean derivative. In case of finite differences, we compute the stepsize in the simulation that asymptotically minimizes the mean square error. We also show that the two latter methods, infinitesimal perturbation analysis and likelihood ratio score function, are mathematically equivalent.}}, author = {{Signahl, Mikael}}, issn = {{1432-2994}}, keywords = {{discontinuity; finite differences; IPA; LR}}, language = {{eng}}, number = {{1}}, pages = {{29--51}}, publisher = {{Physica Verlag}}, series = {{Mathematical Methods of Operations Research}}, title = {{Sensitivity analysis via simulation in the presence of discontinuities}}, url = {{http://dx.doi.org/10.1007/s001860400357}}, doi = {{10.1007/s001860400357}}, volume = {{60}}, year = {{2004}}, }