Title :
An overview of derivative estimation
Author :
L´Ecuyer, Pierre
Author_Institution :
Dept. d´´IRO, Montreal Univ., Que., Canada
Abstract :
The author explains the main techniques for estimating derivatives by simulation and surveys the most recent developments in that area. In particular, he discusses perturbation analysis, likelihood ratios, weak derivatives, finite differences, and many of their variants. Some other approaches are also mentioned. The emphasis is on the relationships between the methods. For that purpose, they are presented in the same framework
Keywords :
difference equations; differentiation; estimation theory; perturbation techniques; reviews; simulation; derivative estimation; finite differences; likelihood ratios; perturbation analysis; simulation; weak derivatives; Analytical models; Costs; Finite difference methods; Interpolation; Performance analysis; Sensitivity analysis; Time measurement;
Conference_Titel :
Simulation Conference, 1991. Proceedings., Winter
Conference_Location :
Phoenix, AZ
Print_ISBN :
0-7803-0181-1
DOI :
10.1109/WSC.1991.185617
