Control Variates Techniques for Monte Carlo Simulation

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.

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Document Details

Document Type
Technical Report
Publication Date
Dec 01, 2003
Accession Number
ADA495131

Entities

People

  • Roberto Szechtman

Organizations

  • Naval Postgraduate School

Tags

Communities of Interest

  • C4I
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Brownian Motion
  • Coefficients
  • Data Science
  • Estimators
  • Information Science
  • Intervals
  • Monte Carlo Method
  • New York
  • Operations Research
  • Random Variables
  • Sequences
  • Statistical Algorithms
  • Statistical Analysis
  • Statistics
  • Steady State

Fields of Study

  • Mathematics

Readers

  • Statistical inference.
  • Theoretical Analysis.