IEEE - Institute of Electrical and Electronics Engineers, Inc. - Single-run gradient estimation via measure-valued differentiation

Author(s): B. Heidergott ; A. Hordijk
Sponsor(s): IEEE Control Systems Society
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 October 2004
Volume: 49
Page(s): 1,843 - 1,847
ISSN (Paper): 0018-9286
ISSN (Online): 1558-2523
DOI: 10.1109/TAC.2004.835588
Regular:

We show how single-run-based measure-valued differentiation gradient estimators can be obtained. The key idea is to apply a change of measure a posterior to the mathematical analysis of the... View More

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