Generalizing the Generalized Likelihood Ratio Method Through a Push-Out Leibniz Integration Approach
Year: 2024
Type: conference-paper
Abstract: We generalize the generalized likelihood ratio (GLR) method through a novel push-out Leibniz integration approach. Extending the conventional push-out likelihood ratio (LR) method, our approach allows the sample space to be parameter-dependent after the change of variables. Specifically, leveraging the Leibniz integral rule enables differentiation of the parameter-dependent sample space, resulting in a surface integral in addition to the usual LR estimator, which may necessitate additional simulation. Furthermore, our approach extends to cases where the change of variables only “locally” exists. Notably, the derived estimator includes existing GLR estimators as special cases and is applicable to a broader class of discontinuous sample performances. Moreover, the derivation is streamlined and more straightforward, and the requisite regularity conditions are easier to understand and verify.
Source: Winter Simulation Conference
Authors: Xingyu Ren, Michael C. Fu
Institution: University of Maryland, College Park
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
Funder: National Science Foundation
OpenAlex ID: W4406611286