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Conditional Monte Carlo: Gradient Estimation and Optimization Applications

Conditional Monte Carlo: Gradient Estimation and Optimization Applications

          
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About the Book

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.


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Product Details
  • ISBN-13: 9781461378891
  • Publisher: Springer
  • Publisher Imprint: Springer
  • Height: 234 mm
  • No of Pages: 399
  • Series Title: The Springer International Engineering and Computer Science
  • Sub Title: Gradient Estimation and Optimization Applications
  • Width: 156 mm
  • ISBN-10: 1461378893
  • Publisher Date: 08 Oct 2012
  • Binding: Paperback
  • Language: English
  • Returnable: N
  • Spine Width: 22 mm
  • Weight: 584 gr


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