Note: On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators

Published Online:https://doi.org/10.1287/mnsc.41.4.738

Sufficient conditions for the validity of interchange between derivative and expectation, in the context of likelihood ratio gradient estimation, were given in L'Ecuyer (1990). The aim of this paper is to shed additional light on these conditions and introduce specific variants of them, which are often easier to check. Sufficient conditions for the derivative estimator to have finite moments up to a given order are also given and illustrated by examples. In particular, we give an example of an unbiased derivative estimator which satisfies the interchange conditions but which has infinite variance.

INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.