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What you should know about simulation and derivatives
Author(s) -
Fu Michael C.
Publication year - 2008
Publication title -
naval research logistics (nrl)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.665
H-Index - 68
eISSN - 1520-6750
pISSN - 0894-069X
DOI - 10.1002/nav.20313
Subject(s) - sort , computer science , queueing theory , focus (optics) , sensitivity (control systems) , operations research , brute force , mathematical optimization , management science , mathematics , economics , computer security , engineering , information retrieval , computer network , physics , electronic engineering , optics
Abstract Derivatives (or gradients) are important for both sensitivity analysis and optimization, and in simulation models, these can often be estimated efficiently using various methods other than brute‐force finite differences. This article briefly summarizes the main approaches and discusses areas in which the approaches can most fruitfully be applied: queueing, inventory, and finance. In finance, the focus is on derivatives of another sort. © 2008 Wiley Periodicals, Inc. Naval Research Logistics, 2008