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Sensitivity analysis via simulation in the presence of discontinuities

Signahl, Mikael LU (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:
author
organization
publishing date
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
2007-10-31 15:09:01
date last changed
2017-01-01 06:48:30
@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},
  keyword      = {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},
  volume       = {60},
  year         = {2004},
}