论文信息 - Technical Note - On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis

Technical Note - On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis

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.

Michael C. Fu | Guangxin Jiang | M. Fu | Guangxin Jiang

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