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Conditional Monte Carlo : Gradient Estimation and Optimization Applications - Michael C. Fu

Conditional Monte Carlo

Gradient Estimation and Optimization Applications

Hardcover

Published: 31st March 1997
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Conditional Monte Carlo: Gradient Estimation and Optimization Applications deals with various gradient estimation techniques of perturbation analysis based on the use of conditional expectation. The primary setting is discrete-event stochastic simulation. This book presents applications to queueing and inventory, and to other diverse areas such as financial derivatives, pricing and statistical quality control. To researchers already in the area, this book offers a unified perspective and adequately summarizes the state of the art. To researchers new to the area, this book offers a more systematic and accessible means of understanding the techniques without having to scour through the immense literature and learn a new set of notation with each paper. To practitioners, this book provides a number of diverse application areas that makes the intuition accessible without having to fully commit to understanding all the theoretical niceties. In sum, the objectives of this monograph are two-fold: to bring together many of the interesting developments in perturbation analysis based on conditioning under a more unified framework, and to illustrate the diversity of applications to which these techniques can be applied.
Conditional Monte Carlo: Gradient Estimation and Optimization Applications is suitable as a secondary text for graduate level courses on stochastic simulations, and as a reference for researchers and practitioners in industry.

Preface
Selected Notation
Introduction
Three Extended Examples
Conditional Monte Carlo Gradient Estimation
Links to Other Settings
Synopsis and Preview
Queueing Systems
(s,S) Inventory Systems
Other Applications
References
Index
Corrections to Conditional Monte Carlo: Gradient Estimation and Optimization Applications (Kluwer International Series in Engineering and Computer Science, 392) can be found at the following URL: http://www.bmgt.umd.edu/
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780792398738
ISBN-10: 0792398734
Series: KLUWER INTERNATIONAL SERIES IN ENGINEERING AND COMPUTER SCIENCE
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 399
Published: 31st March 1997
Publisher: Springer
Country of Publication: NL
Dimensions (cm): 24.77 x 16.51  x 2.54
Weight (kg): 0.89