Simulation‐Based Optimization II: Stochastic Gradient and Sample Path Methods
James C. Spall · 2003
This chapter includes the following topics: Framework for Gradient Estimation Pure Likelihood Ratio/Score Function and Pure Infinitesimal Perturbation Analysis Gradient Estimation Methods in Root-Finding Stochastic Approximation: The Hybrid LR/SF and IPA Setting Sample Path Optimization Concluding Remarks