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Conditional Monte Carlo: gradient estimation and optimization applications

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Bibliographic Details
Main Authors:	Fu, Michael (Author), Hu, Jian-Qiang (Author)
Format:	Book
Language:	English
Published:	Boston [u.a.] Kluwer 1997
Series:	The Kluwer international series in engineering and computer science 392
Subjects:	Commande, Théorie de la Gradient conjugué, Méthode du Monte Carlo-methode Perturbation (Mathématiques) Perturbation (mathématiques) Systèmes dynamiques Systèmes, Analyse de System analysis Control theory Conjugate gradient methods Perturbation (Mathematics) Gradientenverfahren Störungstheorie Monte-Carlo-Simulation
Links:	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007849440&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Physical Description:	XIV, 399 S.

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Record in the Search Index

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adam_text	CONDITIONAL MONTE CARLO GRADIENT ESTIMATION AND OPTIMIZATION APPLICATIONS MICHAEL FU UNIVERSITY OF MARYLAND COLLEGE PARK, MARYLAND, USA JIAN-QIANG HU BOSTON UNIVERSITY BOSTON, MASSACHUSETTS, USA KLUWER ACADEMIC PUBLISHERS BOSTON/LONDON/DORDRECHT CONTENTS PREFACE IX SELECTED NOTATION XIII 1 INTRODUCTION 1 1.1 DERIVATIVES OF RANDOM VARIABLES 6 1.2 INFINITESIMAL PERTURBATION ANALYSIS 8 1.3 THE ROLE OF REPRESENTATIONS 9 1.4 BASIC THEORETICAL TOOLS 12 1.5 DERIVATIVES OF MEASURES 14 1.6 A SIMPLE ILLUSTRATIVE EXAMPLE 17 1.7 TWO VIEWS OF CONDITIONING 27 1.8 A BRIEF PERTURBATION ANALYSIS LEXICON 28 1.9 SUMMARY 30 2 THREE EXTENDED EXAMPLES 33 2.1 RENEWAL PROCESS 34 2.2 SINGLE-SERVER QUEUE 38 2.3 (S, S) INVENTORY SYSTEM 59 2.4 SUMMARY 71 3 CONDITIONAL MONTE CARLO GRADIENT ESTIMATION 73 3.1 THE GSMP FRAMEWORK 74 3.2 INFINITESIMAL PERTURBATION ANALYSIS 78 3.3 GRADIENT ESTIMATION VIA CONDITIONING 82 3.4 DISCONTINUOUS PERFORMANCE MEASURES 99 3.5 OTHER STOPPING TIMES 104 3.6 LONG-RUN AVERAGE PERFORMANCE MEASURES 107 3.7 HIGHER ORDER DERIVATIVE ESTIMATORS 124 4 LINKS TO OTHER SETTINGS 133 4.1 SPECIAL CASES^ -. 134 4.2 AN ALTERNATIVE CHARACTERIZATION 144 4.3 LIKELIHOOD RATIO METHOD 146 VN VIII CONTENTS 4.4 RARE PERTURBATION ANALYSIS 148 4.5 WEAK DERIVATIVES 162 4.6 DISCONTINUOUS PERTURBATION ANALYSIS 165 4.7 AUGMENTED INFINITESIMAL PERTURBATION ANALYSIS 168 4.8 LIKELIHOOD RATIO METHOD VIA CONDITIONING 172 5 SYNOPSIS AND PREVIEW 181 5.1 SUMMARY OF MAIN RESULTS 182 5.2 EFFICIENT IMPLEMENTATION 196 5.3 GRADIENT-BASED OPTIMIZATION 199 5.4 PREVIEW OF APPLICATIONS 203 6 QUEUEING SYSTEMS 205 6.1 SINGLE QUEUE NOTATION 206 6.2 TIMING PARAMETERS 207 6.3 DISCONTINUOUS PERFORMANCE MEASURES 211 6.4 FINITE CAPACITY QUEUE 214 6.5 PRIORITY QUEUE 228 6.6 MULTIPLE SERVERS SECOND DERIVATIVE 236 6.7 MULTIPLE NON-IDENTICAL SERVERS 245 6.8 THE ROUTING PROBLEM 249 6.9 OTHER THRESHOLD-BASED PARAMETERS 256 6.10 AN OPTIMIZATION EXAMPLE 262 6.11 MULTI-CLASS QUEUEING NETWORK 275 7 (S, S) INVENTORY SYSTEMS 285 7.1 STANDARD PERIODIC REVIEW MODEL 286 7.2 SERVICE LEVEL PERFORMANCE MEASURES 301 7.3 HYBRID PERIODIC REVIEW MODEL 310 8 OTHER APPLICATIONS 315 8.1 A COMPONENT REPLACEMENT PROBLEM 315 8.2 PRICING OF FINANCIAL DERIVATIVES 328 8.3 DESIGN OF CONTROL CHARTS 349 REFERENCES 367 INDEX 395
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author	Fu, Michael Hu, Jian-Qiang
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series	The Kluwer international series in engineering and computer science
series2	The Kluwer international series in engineering and computer science
spellingShingle	Fu, Michael Hu, Jian-Qiang Conditional Monte Carlo gradient estimation and optimization applications The Kluwer international series in engineering and computer science Commande, Théorie de la Gradient conjugué, Méthode du Monte Carlo-methode gtt Perturbation (Mathématiques) Perturbation (mathématiques) ram Systèmes dynamiques ram Systèmes, Analyse de System analysis Control theory Conjugate gradient methods Perturbation (Mathematics) Gradientenverfahren (DE-588)4157995-1 gnd Störungstheorie (DE-588)4128420-3 gnd Monte-Carlo-Simulation (DE-588)4240945-7 gnd
subject_GND	(DE-588)4157995-1 (DE-588)4128420-3 (DE-588)4240945-7
title	Conditional Monte Carlo gradient estimation and optimization applications
title_auth	Conditional Monte Carlo gradient estimation and optimization applications
title_exact_search	Conditional Monte Carlo gradient estimation and optimization applications
title_full	Conditional Monte Carlo gradient estimation and optimization applications Michael Fu ; Jian-Qiang Hu
title_fullStr	Conditional Monte Carlo gradient estimation and optimization applications Michael Fu ; Jian-Qiang Hu
title_full_unstemmed	Conditional Monte Carlo gradient estimation and optimization applications Michael Fu ; Jian-Qiang Hu
title_short	Conditional Monte Carlo
title_sort	conditional monte carlo gradient estimation and optimization applications
title_sub	gradient estimation and optimization applications
topic	Commande, Théorie de la Gradient conjugué, Méthode du Monte Carlo-methode gtt Perturbation (Mathématiques) Perturbation (mathématiques) ram Systèmes dynamiques ram Systèmes, Analyse de System analysis Control theory Conjugate gradient methods Perturbation (Mathematics) Gradientenverfahren (DE-588)4157995-1 gnd Störungstheorie (DE-588)4128420-3 gnd Monte-Carlo-Simulation (DE-588)4240945-7 gnd
topic_facet	Commande, Théorie de la Gradient conjugué, Méthode du Monte Carlo-methode Perturbation (Mathématiques) Perturbation (mathématiques) Systèmes dynamiques Systèmes, Analyse de System analysis Control theory Conjugate gradient methods Perturbation (Mathematics) Gradientenverfahren Störungstheorie Monte-Carlo-Simulation
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007849440&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
volume_link	(DE-604)BV023545171
work_keys_str_mv	AT fumichael conditionalmontecarlogradientestimationandoptimizationapplications AT hujianqiang conditionalmontecarlogradientestimationandoptimizationapplications

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