Naval Postgraduate School
Constrained Monte Carlo and the Method of Control Variates
051.pdf (126.0Kb)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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Proceedings of the 2001 Winter Simulation Conference, pp 394-400
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