What You Should Know About Simulation and Derivatives

Derivatives (or gradients) are important for both sensitivity analysis and optimization, and in simulation models, these can often be estimated efficiently using various methods other than brute-force finite differences. This article briefly summarizes the main approaches and discusses areas in which the approaches can most fruitfully be applied: queueing, inventory, and finance. In finance, the focus is on derivatives of another sort. (C) 2008 Wiley Periodicals, Inc. Naval Research Logistics 55: 723-736, 2008