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Strong consistency of sample path derivative estimates |
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| Authors: | Jian-Qiang Hu and Stephen G. Strickland |
| Affiliation: | Division of Applied Sciences, Harvard University, Rm. G12h Pierce Hall, Division of Applied Sciences, Cambridge, MA 02138, USA |
| Abstract: | We give general conditions for strong consistency of sample-path-based derivative estimators. Such estimators are useful in gradient-based optimization of complex stochastic systems. The results substantially generalize and extend previous results. |
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