Some New Perspectives on the Method of Control Variates
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Authors
Szechtman, Roberto
Glynn, Peter W.
Subjects
Advisors
Date of Issue
2002
Date
2002
Publisher
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Abstract
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 different viewpoints, and establishes
new connections between the method of control variates and: conditional Monte
Carlo, antithetics, rotation sampling, stratification, and nonparametric maximum
likelihood. We also develop limit theory for the method of control variates under
weak assumptions on the estimator of the optimal control coefficient.
Type
Description
Monte Carlo and Quasi-Monte Carlo Methods 2000
Series/Report No
Department
Department of Management Science and Engineering
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Format
Citation
2002. Some New Perspectives on the Method of Control Variates. Monte Carlo and Quasi-Monte Carlo Methods 2000 (edited by K.T. Fang, F.J.Hickernell, and H. Niederreiter ), Springer-Verlag, Berlin , pp 27-49. (With P.W. Glynn)
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This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.