Conditional Monte Carlo: gradient estimation and optimization applications
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Boston [u.a.]
Kluwer
1997
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| Schriftenreihe: | The Kluwer international series in engineering and computer science
392 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIV, 399 S. |
Internformat
MARC
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| 650 | 4 | |a System analysis | |
| 650 | 4 | |a Control theory | |
| 650 | 4 | |a Conjugate gradient methods | |
| 650 | 4 | |a Perturbation (Mathematics) | |
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Datensatz im Suchindex
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| adam_text | CONDITIONAL MONTE CARLO GRADIENT ESTIMATION AND OPTIMIZATION
APPLICATIONS MICHAEL FU UNIVERSITY OF MARYLAND COLLEGE PARK, MARYLAND,
USA JIAN-QIANG HU BOSTON UNIVERSITY BOSTON, MASSACHUSETTS, USA KLUWER
ACADEMIC PUBLISHERS BOSTON/LONDON/DORDRECHT CONTENTS PREFACE IX SELECTED
NOTATION XIII 1 INTRODUCTION 1 1.1 DERIVATIVES OF RANDOM VARIABLES 6 1.2
INFINITESIMAL PERTURBATION ANALYSIS 8 1.3 THE ROLE OF REPRESENTATIONS 9
1.4 BASIC THEORETICAL TOOLS 12 1.5 DERIVATIVES OF MEASURES 14 1.6 A
SIMPLE ILLUSTRATIVE EXAMPLE 17 1.7 TWO VIEWS OF CONDITIONING 27 1.8 A
BRIEF PERTURBATION ANALYSIS LEXICON 28 1.9 SUMMARY 30 2 THREE EXTENDED
EXAMPLES 33 2.1 RENEWAL PROCESS 34 2.2 SINGLE-SERVER QUEUE 38 2.3 (S,
S) INVENTORY SYSTEM 59 2.4 SUMMARY 71 3 CONDITIONAL MONTE CARLO GRADIENT
ESTIMATION 73 3.1 THE GSMP FRAMEWORK 74 3.2 INFINITESIMAL PERTURBATION
ANALYSIS 78 3.3 GRADIENT ESTIMATION VIA CONDITIONING 82 3.4
DISCONTINUOUS PERFORMANCE MEASURES 99 3.5 OTHER STOPPING TIMES 104 3.6
LONG-RUN AVERAGE PERFORMANCE MEASURES 107 3.7 HIGHER ORDER DERIVATIVE
ESTIMATORS 124 4 LINKS TO OTHER SETTINGS 133 4.1 SPECIAL CASES^ -. 134
4.2 AN ALTERNATIVE CHARACTERIZATION 144 4.3 LIKELIHOOD RATIO METHOD 146
VN VIII CONTENTS 4.4 RARE PERTURBATION ANALYSIS 148 4.5 WEAK DERIVATIVES
162 4.6 DISCONTINUOUS PERTURBATION ANALYSIS 165 4.7 AUGMENTED
INFINITESIMAL PERTURBATION ANALYSIS 168 4.8 LIKELIHOOD RATIO METHOD VIA
CONDITIONING 172 5 SYNOPSIS AND PREVIEW 181 5.1 SUMMARY OF MAIN RESULTS
182 5.2 EFFICIENT IMPLEMENTATION 196 5.3 GRADIENT-BASED OPTIMIZATION 199
5.4 PREVIEW OF APPLICATIONS 203 6 QUEUEING SYSTEMS 205 6.1 SINGLE QUEUE
NOTATION 206 6.2 TIMING PARAMETERS 207 6.3 DISCONTINUOUS PERFORMANCE
MEASURES 211 6.4 FINITE CAPACITY QUEUE 214 6.5 PRIORITY QUEUE 228 6.6
MULTIPLE SERVERS SECOND DERIVATIVE 236 6.7 MULTIPLE NON-IDENTICAL
SERVERS 245 6.8 THE ROUTING PROBLEM 249 6.9 OTHER THRESHOLD-BASED
PARAMETERS 256 6.10 AN OPTIMIZATION EXAMPLE 262 6.11 MULTI-CLASS
QUEUEING NETWORK 275 7 (S, S) INVENTORY SYSTEMS 285 7.1 STANDARD
PERIODIC REVIEW MODEL 286 7.2 SERVICE LEVEL PERFORMANCE MEASURES 301 7.3
HYBRID PERIODIC REVIEW MODEL 310 8 OTHER APPLICATIONS 315 8.1 A
COMPONENT REPLACEMENT PROBLEM 315 8.2 PRICING OF FINANCIAL DERIVATIVES
328 8.3 DESIGN OF CONTROL CHARTS 349 REFERENCES 367 INDEX 395
|
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| author | Fu, Michael Hu, Jian-Qiang |
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| dewey-tens | 000 - Computer science, information, general works |
| discipline | Informatik Mathematik |
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| spelling | Fu, Michael Verfasser aut Conditional Monte Carlo gradient estimation and optimization applications Michael Fu ; Jian-Qiang Hu Boston [u.a.] Kluwer 1997 XIV, 399 S. txt rdacontent n rdamedia nc rdacarrier The Kluwer international series in engineering and computer science 392 Commande, Théorie de la Gradient conjugué, Méthode du Monte Carlo-methode gtt Perturbation (Mathématiques) Perturbation (mathématiques) ram Systèmes dynamiques ram Systèmes, Analyse de System analysis Control theory Conjugate gradient methods Perturbation (Mathematics) Gradientenverfahren (DE-588)4157995-1 gnd rswk-swf Störungstheorie (DE-588)4128420-3 gnd rswk-swf Monte-Carlo-Simulation (DE-588)4240945-7 gnd rswk-swf Monte-Carlo-Simulation (DE-588)4240945-7 s Störungstheorie (DE-588)4128420-3 s Gradientenverfahren (DE-588)4157995-1 s DE-604 Hu, Jian-Qiang Verfasser aut The Kluwer international series in engineering and computer science 392 (DE-604)BV023545171 392 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007849440&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Fu, Michael Hu, Jian-Qiang Conditional Monte Carlo gradient estimation and optimization applications The Kluwer international series in engineering and computer science Commande, Théorie de la Gradient conjugué, Méthode du Monte Carlo-methode gtt Perturbation (Mathématiques) Perturbation (mathématiques) ram Systèmes dynamiques ram Systèmes, Analyse de System analysis Control theory Conjugate gradient methods Perturbation (Mathematics) Gradientenverfahren (DE-588)4157995-1 gnd Störungstheorie (DE-588)4128420-3 gnd Monte-Carlo-Simulation (DE-588)4240945-7 gnd |
| subject_GND | (DE-588)4157995-1 (DE-588)4128420-3 (DE-588)4240945-7 |
| title | Conditional Monte Carlo gradient estimation and optimization applications |
| title_auth | Conditional Monte Carlo gradient estimation and optimization applications |
| title_exact_search | Conditional Monte Carlo gradient estimation and optimization applications |
| title_full | Conditional Monte Carlo gradient estimation and optimization applications Michael Fu ; Jian-Qiang Hu |
| title_fullStr | Conditional Monte Carlo gradient estimation and optimization applications Michael Fu ; Jian-Qiang Hu |
| title_full_unstemmed | Conditional Monte Carlo gradient estimation and optimization applications Michael Fu ; Jian-Qiang Hu |
| title_short | Conditional Monte Carlo |
| title_sort | conditional monte carlo gradient estimation and optimization applications |
| title_sub | gradient estimation and optimization applications |
| topic | Commande, Théorie de la Gradient conjugué, Méthode du Monte Carlo-methode gtt Perturbation (Mathématiques) Perturbation (mathématiques) ram Systèmes dynamiques ram Systèmes, Analyse de System analysis Control theory Conjugate gradient methods Perturbation (Mathematics) Gradientenverfahren (DE-588)4157995-1 gnd Störungstheorie (DE-588)4128420-3 gnd Monte-Carlo-Simulation (DE-588)4240945-7 gnd |
| topic_facet | Commande, Théorie de la Gradient conjugué, Méthode du Monte Carlo-methode Perturbation (Mathématiques) Perturbation (mathématiques) Systèmes dynamiques Systèmes, Analyse de System analysis Control theory Conjugate gradient methods Perturbation (Mathematics) Gradientenverfahren Störungstheorie Monte-Carlo-Simulation |
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