DocumentCode
402127
Title
Control variates techniques for Monte Carlo simulation
Author
Szechtman, Roberto
Author_Institution
Dept. of Operations Res., Naval Postgraduate Sch., Monterey, CA, USA
Volume
1
fYear
2003
fDate
7-10 Dec. 2003
Firstpage
144
Abstract
In this paper we present an overview of classical results about the variance reduction technique of control variates. We emphasize aspects of the theory that are of importance to the practitioner, as well as presenting relevant applications.
Keywords
Monte Carlo methods; digital simulation; operations research; Monte Carlo simulation; control variates techniques; optimal control coefficient; practitioner; relevant applications; theory; variance reduction technique; Books; Context modeling; Finance; Least squares methods; Operations research; Optimal control; Parameter estimation; Random variables; Steady-state; Vectors;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference, 2003. Proceedings of the 2003 Winter
Print_ISBN
0-7803-8131-9
Type
conf
DOI
10.1109/WSC.2003.1261417
Filename
1261417
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