Open AccessOn the Variance of Single-Run Unbiased Stochastic Derivative Estimators
Author(s) -
Zhenyu Cui,
Michael C. Fu,
Jian-Qiang Hu,
Yanchu Liu,
Yijie Peng,
Lingjiong Zhu
Publication year - 2020
Publication title -
informs j. comput.
Language(s) - English
DOI - 10.1287/ijoc.2019.0897
We analyze the variance of single-run unbiased stochastic derivative estimators. The distribution of a specific conditional expectation characterizes an intrinsic distributional property of the der...
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom