# Assessing the accuracy of estimation of Gaussian systems via sensitivity analysis, a mathematical urban legend busted

*by Felisa Vasquez-Abad*

*Institution:*Department of Mathematics and Statistics, The University of Melbourne

*Date: Thu 19th April 2007*

*Time: 12:00 PM*

*Location: Room 213, Richard Berry Building*

*Abstract*: Infinitesimal Perturbation Analysis (IPA) is a methodology that uses a

stochastic derivative to estimate the gradient of the expected value of a performance function, with respect to some parameter of the model. It is unbiased only when the expectation and derivative operations can be

interchanged. For almost two decades, many papers on gradient estimation for discrete event driven systems have claimed that IPA is

the preferred method, if applicable, and it is broadly accepted today as the method with minimal variance.

Dealing with discontinuities motivated the study and development of alternative methods for gradient estimation, notably Score Function (SF) and Weak Derivative (WD) methods, both of which use a measure

theoretical approach to deal with the derivative of a probability measure with respect to some parameter of the model.

In this talk we will focus on a ubiquitous class of problems where the dynamics of the system follows a Gaussian model. They arise whenever

the processes driving uncertainties are described by "cumulative small errors", and are used in Physics,Chemistry, Economics, Finance,

Engineering, etc.

*For More Information:* Dr Owen Jones: odj@mailhost.ms.unimelb.edu.au