TITLE

Sensitivity analysis via simulation in the presence of discontinuities

AUTHOR(S)
Signahl, Mikael
PUB. DATE
October 2004
SOURCE
Mathematical Methods of Operations Research;2004, Vol. 60 Issue 1, p29
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
In this paper we address the problem of estimating the mean derivative when the entity containing the parameter has jumps. The methods considered are finite differences, infinitesimal perturbation analysis and the likelihood ratio score function. We calculate the difference between the differentiated mean and the mean derivative. In case of finite differences, we compute the stepsize in the simulation that asymptotically minimizes the mean square error. We also show that the two latter methods, infinitesimal perturbation analysis and likelihood ratio score function, are mathematically equivalent.
ACCESSION #
14097729

 

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