Code and Data Repository for Gradient-based Simulation Optimization Algorithms via Multi-Resolution System Approximations
该软件实现了两种基于梯度估计的仿真优化算法，用于投资组合选择问题，并通过数值实验展示了收敛速度和中心极限定理。
The goal of the software is to implement the two algorithms constructed in Section 3 (with FD gradient estimators) and Section 4 (with multilevel FD gradient estimators) on the simulation-optimization problem of portfolio selection, where the underlying prices of assets are driven by stochastic differential equations. We implement the two algorithms and numerically demonstrate the convergence rates and the central limit theorem.