Optimal unbiased estimation for expected cumulative discounted cost
Author
Abstract
Suggested Citation
DOI: 10.1016/j.ejor.2020.03.072
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Michael C. Fu & Bingqing Li & Guozhen Li & Rongwen Wu, 2017. "Option Pricing for a Jump-Diffusion Model with General Discrete Jump-Size Distributions," Management Science, INFORMS, vol. 63(11), pages 3961-3977, November.
- McLeish, Don, 2011. "A general method for debiasing a Monte Carlo estimator," Monte Carlo Methods and Applications, De Gruyter, vol. 17(4), pages 301-315, December.
- Bennett L. Fox & Peter W. Glynn, 1989. "Simulating Discounted Costs," Management Science, INFORMS, vol. 35(11), pages 1297-1315, November.
- Christos Alexopoulos & David Goldsman & Peng Tang & James R. Wilson, 2016. "SPSTS: A sequential procedure for estimating the steady-state mean using standardized time series," IISE Transactions, Taylor & Francis Journals, vol. 48(9), pages 864-880, September.
- Peter W. Glynn & Ward Whitt, 1992. "The Asymptotic Efficiency of Simulation Estimators," Operations Research, INFORMS, vol. 40(3), pages 505-520, June.
- Paul Glasserman & Jeremy Staum, 2003. "Resource Allocation Among Simulation Time Steps," Operations Research, INFORMS, vol. 51(6), pages 908-921, December.
- Halkin, Hubert, 1974. "Necessary Conditions for Optimal Control Problems with Infinite Horizons," Econometrica, Econometric Society, vol. 42(2), pages 267-272, March.
- Michael B. Giles, 2008. "Multilevel Monte Carlo Path Simulation," Operations Research, INFORMS, vol. 56(3), pages 607-617, June.
- HALKIN, Hubert, 1974. "Necessary conditions for optimal control problems with infinite horizons," LIDAM Reprints CORE 193, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
- Chang-Han Rhee & Peter W. Glynn, 2015. "Unbiased Estimation with Square Root Convergence for SDE Models," Operations Research, INFORMS, vol. 63(5), pages 1026-1043, October.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Zixuan Zhang & Michail Chronopoulos & Dimitrina S. Dimitrova & Ioannis Kyriakou, 2024. "Risk assessment and optimal scheduling of serial projects," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 46(3), pages 709-736, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Matti Vihola & Jouni Helske & Jordan Franks, 2020. "Importance sampling type estimators based on approximate marginal Markov chain Monte Carlo," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(4), pages 1339-1376, December.
- Nabil Kahalé, 2020. "Randomized Dimension Reduction for Monte Carlo Simulations," Management Science, INFORMS, vol. 66(3), pages 1421-1439, March.
- Zhou, Zhengqing & Wang, Guanyang & Blanchet, Jose H. & Glynn, Peter W., 2023. "Unbiased Optimal Stopping via the MUSE," Stochastic Processes and their Applications, Elsevier, vol. 166(C).
- Zhengqing Zhou & Guanyang Wang & Jose Blanchet & Peter W. Glynn, 2021. "Unbiased Optimal Stopping via the MUSE," Papers 2106.02263, arXiv.org, revised Dec 2022.
- Ruzayqat Hamza M. & Jasra Ajay, 2020. "Unbiased estimation of the solution to Zakai’s equation," Monte Carlo Methods and Applications, De Gruyter, vol. 26(2), pages 113-129, June.
- Kahalé, Nabil, 2020. "General multilevel Monte Carlo methods for pricing discretely monitored Asian options," European Journal of Operational Research, Elsevier, vol. 287(2), pages 739-748.
- Yasa Syed & Guanyang Wang, 2023. "Optimal randomized multilevel Monte Carlo for repeatedly nested expectations," Papers 2301.04095, arXiv.org, revised May 2023.
- Goda, Takashi & Kitade, Wataru, 2023. "Constructing unbiased gradient estimators with finite variance for conditional stochastic optimization," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 204(C), pages 743-763.
- Dereich, Steffen, 2021. "General multilevel adaptations for stochastic approximation algorithms II: CLTs," Stochastic Processes and their Applications, Elsevier, vol. 132(C), pages 226-260.
- Imry Rosenbaum & Jeremy Staum, 2017. "Multilevel Monte Carlo Metamodeling," Operations Research, INFORMS, vol. 65(4), pages 1062-1077, August.
- Emmanuelle Augeraud-Véron & Raouf Boucekkine & Vladimir Veliov, 2019.
"Distributed Optimal Control Models in Environmental Economics: A Review,"
AMSE Working Papers
1902, Aix-Marseille School of Economics, France.
- Emmanuelle Augeraud-Véron & Raouf Boucekkine & Vladimir Veliov, 2019. "Distributed Optimal Control Models in Environmental Economics: A Review," Working Papers halshs-01982243, HAL.
- Sergey Aseev & Gernot Hutschenreiter & Arkadii V. Kryazhimskii, 2002. "Optimal Investment in R&D with International Knowledge Spillovers," WIFO Working Papers 175, WIFO.
- Ravi Kashyap, 2016. "Solving the Equity Risk Premium Puzzle and Inching Towards a Theory of Everything," Papers 1604.04872, arXiv.org, revised Sep 2019.
- Stefano Bosi & Carmen Camacho & David Desmarchelier, 2023.
"Human capital and welfare,"
PSE-Ecole d'économie de Paris (Postprint)
halshs-03920429, HAL.
- Stefano Bosi & Carmen Camacho & David Desmarchelier, 2023. "Human capital and welfare," Post-Print halshs-03920429, HAL.
- Stefano Bosi & Carmen Camacho & David Desmarchelier, 2020. "Human capital and welfare," PSE Working Papers halshs-02482543, HAL.
- Allise O. Wachs & Irwin E. Schochetman & Robert L. Smith, 2011. "Average Optimality in Nonhomogeneous Infinite Horizon Markov Decision Processes," Mathematics of Operations Research, INFORMS, vol. 36(1), pages 147-164, February.
- Feichtinger, Gustav & Grass, Dieter & Kort, Peter M. & Seidl, Andrea, 2021. "On the Matthew effect in research careers," Journal of Economic Dynamics and Control, Elsevier, vol. 123(C).
- P. Cartigny & P. Michel, 2003.
"On the Selection of One Feedback Nash Equilibrium in Discounted Linear-Quadratic Games,"
Journal of Optimization Theory and Applications, Springer, vol. 117(2), pages 231-243, May.
- CARTIGNY, Pierre & MICHEL, Philippe, 2002. "On the selection of one feedback Nash equilibrium in discounted linear-quadratic games," LIDAM Discussion Papers CORE 2002034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Wei Fang & Zhenru Wang & Michael B. Giles & Chris H. Jackson & Nicky J. Welton & Christophe Andrieu & Howard Thom, 2022. "Multilevel and Quasi Monte Carlo Methods for the Calculation of the Expected Value of Partial Perfect Information," Medical Decision Making, , vol. 42(2), pages 168-181, February.
- Guay, François & Schwenkler, Gustavo, 2021. "Efficient estimation and filtering for multivariate jump–diffusions," Journal of Econometrics, Elsevier, vol. 223(1), pages 251-275.
More about this item
Keywords
Simulation; Unbiased estimation; Simulation optimization; Computing budget allocation; Cumulative costs;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:286:y:2020:i:2:p:604-618. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.