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dc.contributor.authorSzechtman, Roberto
dc.contributor.authorGlynn, Peter W.
dc.dateWinter 2001
dc.date.accessioned2014-01-22T20:25:52Z
dc.date.available2014-01-22T20:25:52Z
dc.date.issued2001
dc.identifier.citation2001. Constrained Monte Carlo and the Method of Control Variates. Proceedings of the 2001 Winter Simulation Conference, pp 394-400. (With P.W. Glynn)
dc.identifier.urihttp://hdl.handle.net/10945/38434
dc.descriptionProceedings of the 2001 Winter Simulation Conference, pp 394-400en_US
dc.description.abstractA 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.en_US
dc.rightsdefined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.en_US
dc.titleConstrained Monte Carlo and the Method of Control Variatesen_US
dc.typeArticleen_US
dc.contributor.departmentOperations Research (OR)


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