Conditional Monte Carlo: Gradient Estimation and Optimization Applications

2011-09-26article200 citationsclosed

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Simulation Techniques and Applications Stochastic processes and financial applications Markov Chains and Monte Carlo Methods

Abstract

Preface. Selected Notation. 1. Introduction. 2. Three Extended Examples. 3. Conditional Monte Carlo Gradient Estimation. 4. Links to Other Settings. 5. Synopsis and Preview. 6. Queueing Systems. 7. (s,S) Inventory Systems. 8. Other Applications. References. Index. Corrections to Conditional Monte Carlo: Gradient Estimation and Optimization Applications (Kluwer International Series in Engineering and Computer Science, 392) by Michael C. Fu and Jian-Qiang Hu can be found at the Internet.

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