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Generalized Likelihood Ratio Method for Stochastic Models with Uniform Random Numbers As Inputs

Abstract : We propose a new unbiased stochastic gradient estimator for a family of stochastic models with uniform random numbers as inputs. By extending the generalized likelihood ratio (GLR) method, the proposed estimator applies to discontinuous sample performances with structural parameters without requiring that the tails of the density of the input random variables go down to zero smoothly, an assumption in Peng et al. (2018) and Peng et al. (2020a) that precludes a direct formulation in terms of uniform random numbers as inputs. By overcoming this limitation, our new estimator greatly expands the applicability of the GLR method, which we demonstrate for several general classes of uniform input random numbers, including independent inverse transform random variates and dependent input random variables governed by an Archimedean copula. We show how the new derivative estimator works in specific settings such as density estimation, distribution sensitivity for quantiles, and sensitivity analysis for Markov chain stopping time problems, which we illustrate with applications to statistical quality control, stochastic activity networks, and credit risk derivatives. Numerical experiments substantiate broad applicability and flexibility in dealing with discontinuities in sample performance.
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Submitted on : Friday, May 29, 2020 - 6:14:26 PM
Last modification on : Friday, August 5, 2022 - 2:54:52 PM


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  • HAL Id : hal-02652068, version 1


Yijie Peng, Michael C Fu, Jiaqiao Hu, Pierre L'Ecuyer, Bruno Tuffin. Generalized Likelihood Ratio Method for Stochastic Models with Uniform Random Numbers As Inputs. 2020. ⟨hal-02652068⟩



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