Title :
Constrained Monte Carlo and the method of control variates
Author :
Szechtman, Roberto ; Glynn, Peter W.
Author_Institution :
Dept. of Manage. Sci. & Eng., Stanford Univ., CA, USA
Abstract :
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. 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
Keywords :
Monte Carlo methods; a priori computable constraints; constrained Monte Carlo problem; control variates; estimand; expectation; Collaborative work; Computational modeling; Context modeling; Engineering management; Finance; Monte Carlo methods; Pricing; Random variables;
Conference_Titel :
Simulation Conference, 2001. Proceedings of the Winter
Conference_Location :
Arlington, VA
Print_ISBN :
0-7803-7307-3
DOI :
10.1109/WSC.2001.977308
