Gradient Estimation for Ratios

Abstract

The ratio estimation problem arises in many different applications settings. This paper is concerned with the interplay between gradient estimation and ratio estimation. Given unbiased estimators for the numerator and the denominator of the ratio, as well as their gradients, joint central-limit theorems for the ratio and its gradient are derived. The resulting confidence regions are of potential interest when optimizing such ratios numerically, or for sensitivity analysis with respect to parameters whose exact value is unknown. The paper also briefly discusses low-bias estimation for the gradient of a ratio.

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Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1991
Accession Number
ADA248453

Entities

People

  • Michel Ades
  • Peter W. Glynn
  • Pierre L'ecuyer

Organizations

  • Stanford University

Tags

Communities of Interest

  • C4I
  • Energy and Power Technologies
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Algorithms
  • Computations
  • Computer Science
  • Computers
  • Contracts
  • Estimators
  • Mathematics
  • Military Research
  • Operations Research
  • Perturbations
  • Probability
  • Random Variables
  • Sensitivity
  • Simulations
  • Statistics
  • Steady State
  • Stochastic Processes

Readers

  • Fluid Dynamics.
  • Regression Analysis.