Likelihood ratio gradient estimation for stochastic systems
Communications of the ACM - Special issue on simulation
Introduction to Stochastic Search and Optimization
Introduction to Stochastic Search and Optimization
Efficient stochastic sensitivity analysis of discrete event systems
Journal of Computational Physics
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While many optimization and control methods for stochastic processes require gradient information from the process of interest, obtaining gradient information from experiments is prohibitively expensive and time-consuming. As a result, such information is often obtained from stochastic process simulations. Computing gradients efficiently and accurately from stochastic simulations is challenging, especially for simulations involving computationally expensive models with significant inherent noise. In this work, we analyze and characterize the applicability of two gradient estimation methods for kinetic Monte Carlo simulations: finite differencing and likelihood ratio. We developed a systematic method for choosing an optimal perturbation size for finite differencing and discuss, for both methods, important implementation issues such as scaling with respect to the number of elements in the gradient vector. Through a series of numerical experiments, the methods were compared across different time and size regimes to characterize the precision and accuracy associated with each method. We determined that the likelihood ratio method is appropriate for estimating gradients at short (transient) times or for systems with small population sizes, whereas finite differencing is better-suited for gradient estimation at long times (steady state) or for systems with large population sizes.