This paper is a broad and accessible survey of the methods we have at our disposal for Monte Carlo gradient estimation in machine learning and across the statistical sciences: the problem of computing the gradient of an expectation of a function with respect to parameters defining the distribution that is integrated; the problem of sensitivity analysis. In machine learning research, this gradient problem lies at the core of many learning problems, in supervised, unsupervised and reinforcement learning. We will generally seek to rewrite such gradients in a form that allows for Monte Carlo estimation, allowing them to be easily and efficiently used and analysed. We explore three strategies--the pathwise, score function, and measure-valued gradient estimators--exploring their historical developments, derivation, and underlying assumptions. We describe their use in other fields, show how they are related and can be combined, and expand on their possible generalisations. Wherever Monte Carlo gradient estimators have been derived and deployed in the past, important advances have followed. A deeper and more widely-held understanding of this problem will lead to further advances, and it is these advances that we wish to support.

介绍使用 Monte Carlo 梯度估计策略解决机器学习中的梯度问题和灵敏度分析的方法和历史发展，并深入探讨了路径、分数函数和测度梯度估计器的应用、关系和可能的泛化。

机器学习中的蒙特卡罗梯度估计