Technical Note-On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis
成果类型：
Article
署名作者：
Jiang, Guangxin; Fu, Michael C.
署名单位：
Tongji University; University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.2015.1356
发表日期：
2015
页码：
435-441
关键词：
摘要：
Hong (2009) [Hong LJ (2009) Estimating quantile sensitivities. Oper. Res. 57(1):118-130.] introduced a general framework based on probability sensitivities and a conditional expectation relationship for estimating quantile sensitivities by infinitesimal perturbation analysis (IPA). We present an alternative more direct derivation of the IPA estimators that leads to simplified proofs for strong consistency and convergence rate of the unbatched estimator, and strong consistency and a central limit theorem for the batched estimator.