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Constrained Monte Carlo and the Method of Control Variates
Constrained Monte Carlo Method Control Variates
2015/7/8
A constrained Monte Carlo problem arises when one computes an expectation in the presence of a priori computable constraints on the expectations of quantities that are correlated with the estimand. Th...
Some New Perspectives on the Method of Control Variates
Some New Perspectives Method Control Variates
2015/7/8
The method of control variates is one of the most widely used variance reduction techniques associated with Monte Carlo simulation. This paper studies the method of control variates from several diffe...