Accession Number:

ADA248453

Title:

Gradient Estimation for Ratios

Descriptive Note:

Technical rept.

Corporate Author:

STANFORD UNIV CA DEPT OF OPERATIONS RESEARCH

Report Date:

1991-08-01

Pagination or Media Count:

10.0

Abstract:

The ratio estimation problem arises in many different applications settings. This paper is concerned with 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. The paper also briefly discusses low-bias estimation for the gradient of a ratio.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE