Accession Number : ADA180749

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

Descriptive Note : Technical summary rept.,

Corporate Author : WISCONSIN UNIV-MADISON MATHEMATICS RESEARCH CENTER

Personal Author(s) : Glynn,Peter W.

Report Date : FEB 1987

Pagination or Media Count : 17

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.

Descriptors :   *STOCHASTIC PROCESSES, COMPUTATIONS, DISTRIBUTION FUNCTIONS, ESTIMATES, MONTE CARLO METHOD, OPTIMIZATION, STATISTICAL ANALYSIS, NUMERICAL ANALYSIS, EFFICIENCY, SIMULATION

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE