Backend
Stochastic Derivative Estimation for Discontinuous Sample Performances: A Leibniz Integration Perspective
arXiv stat.CO0 views
arXiv:2511.00006v2 Announce Type: replace-cross Abstract: Based on the multidimensional Leibniz integral rule, we propose a novel unbiased stochastic derivative estimation framework for sample performance functions that are discontinuous in the parameter of interest. In this framework, for general discontinuities, a change of variables followed by the Leibniz integral rule generally yields a multi-run estimator, whereas for indicator-type discontinuities, a suitable transformation of the sample performance leads directly to a single-run estimator. The new framework includes existing likelihood ratio (LR)-based approaches as special cases and applies more broadly. In particular, it encompasses generalized LR (GLR) methods and the new formulation permits us to obtain much milder and simpler sufficient regularity conditions for these estimators to be unbiased, compared with the conditions given in previous papers. We also provide guidance on how to construct efficient single-run estimators in settings where existing methods may require the simulation of multiple sample paths or may be inapplicable. We validate the effectiveness and robustness of the proposed framework through an inventory-price control problem.
Source:https://arxiv.org/abs/2511.00006PreviousEfficiently Estimating Cycle Statistics on Graphs via Spanning TreesNextChrome Extension Compromised: A 3-Phase Response Checklist
Related posts

Building PAKKA: An AI-Powered Debt Accountability App That Remembers Promises
0dev.to
MongoDB X.509 Authentication Depends on Exact Subject Mapping
0dev.to
YouTube recommends 3840x2160. Top size guides still say 1280x720
0dev.to
We Built a CV Scanner That Compares Skills Against Real Jobs. Then Production Exposed a Bottleneck.
0dev.to

Amazon Leadership Principles Interview Questions: the stories behind the 16 principles
0dev.to
Block .env and config-file probes in Express and Fastify
0dev.to