Constrained Monte Carlo and the Method of Control Variates

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Authors
Szechtman, Roberto
Glynn, Peter W.
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2001
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Winter 2001
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Abstract
A constrained Monte Carlo problem arises when one computes an expectation in the presence of a priori computable contrains on the expectations of quantities that are correlated with the estimand. This paper discusses different applications settings in which such constrained Monte Carlo computations arise, and establishes a close connection with the method of control variates when the constraints are of equality form.
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Article
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Proceedings of the 2001 Winter Simulation Conference, pp 394-400
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https://hdl.handle.net/10945/38434
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Operations Research (OR)
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2001. Constrained Monte Carlo and the Method of Control Variates. Proceedings of the 2001 Winter Simulation Conference, pp 394-400. (With P.W. Glynn)
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defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.
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