Construction of Process-Differentiable Representations for Parametric Families of Distributions.

Abstract

Sensitivity analysis for stochastic systems plays an important role in the statistical study of such systems, and in the optimization of stochastic processes this paper considers questions related to the efficient computation of Monte Carlo estimates for the derivatives corresponding to such systems. These derivatives play a crucial part in the development of numerical schemes for accomplishing the statistical analysis and optimization mentioned above. Keywords: Computations; Distribution functions; Simulation.

Document Details

Document Type
Technical Report
Publication Date
Feb 01, 1987
Accession Number
ADA180749

Entities

People

  • Peter W. Glynn

Organizations

  • University of Wisconsin–Madison

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Computations
  • Construction
  • Data Science
  • Distribution Functions
  • Information Science
  • Mathematical Analysis
  • Mathematics
  • Optimization
  • Sensitivity
  • Simulations
  • Statistical Analysis
  • Stochastic Processes

Fields of Study

  • Mathematics

Readers

  • Computational Fluid Dynamics (CFD)
  • Statistical inference.