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Conditional Monte Carlo

Gradient Estimation and Optimization Applications

  • Michael Fu
  • Jian-Qiang Hu

Table of contents

  1. Front Matter
    Pages i-xv
  2. Michael Fu, Jian-Qiang Hu
    Pages 1-32
  3. Michael Fu, Jian-Qiang Hu
    Pages 33-72
  4. Michael Fu, Jian-Qiang Hu
    Pages 73-131
  5. Michael Fu, Jian-Qiang Hu
    Pages 133-180
  6. Michael Fu, Jian-Qiang Hu
    Pages 181-204
  7. Michael Fu, Jian-Qiang Hu
    Pages 205-284
  8. Michael Fu, Jian-Qiang Hu
    Pages 285-314
  9. Michael Fu, Jian-Qiang Hu
    Pages 315-365
  10. Back Matter
    Pages 367-399

About this book

Introduction

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.

Keywords

Internet computer computer science optimization simulation

Authors and affiliations

  • Michael Fu
    • 1
  • Jian-Qiang Hu
    • 2
  1. 1.University of MarylandCollege ParkUSA
  2. 2.Boston UniversityBostonUSA

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4615-6293-1
  • Copyright Information Kluwer Academic Publishers 1997
  • Publisher Name Springer, Boston, MA
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-4613-7889-1
  • Online ISBN 978-1-4615-6293-1
  • Series Print ISSN 0893-3405
  • Buy this book on publisher's site