Convergence Rates of Finite-Difference Sensitivity Estimates for Stochastic Systems.
Michael A. ZazanisRajan SuriPublished in: Oper. Res. (1993)
Keyphrases
- finite difference
- convergence rate
- stochastic systems
- confidence intervals
- finite element
- partial differential equations
- numerical solution
- numerical analysis
- sample path
- stochastic models
- global convergence
- level set
- learning rate
- policy iteration
- primal dual
- markov chain
- sample size
- anisotropic diffusion
- optimal policy
- roc curve
- fixed point