Accession Number:

ADA210682

Title:

A Unified View of Infinitesimal Perturbation Analysis and Likelihood Ratios

Descriptive Note:

Technical rept.

Corporate Author:

STANFORD UNIV CA DEPT OF OPERATIONS RESEARCH

Personal Author(s):

• L'Ecuyer, Pierre

Report Date:

1989-02-01

Pagination or Media Count:

26.0

Abstract:

A view of the likelihood ratio LR gradient estimation technique also called the score function SF method is presented under which infinitesimal perturbation analysis IPA can be viewed as a degenerate special case, by selecting appropriately what the random component omega effectively represents. Varying the actual meaning of omega i.e., defining the underlying sample space in different ways might define different variants of the LR method, some of them mixing IPA with more traditional LR. We illustrate this by many examples. We also give general conditions under which the gradient estimators are unbiased.

Descriptors:

• *PERTURBATIONS
• *STATISTICAL TESTS
• VARIATIONS
• GRADIENTS
• SIMULATION
• ESTIMATES

Subject Categories:

• Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE