• DocumentCode
    2118841
  • 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
  • Volume
    1
  • fYear
    2001
  • fDate
    2001
  • Firstpage
    394
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Simulation Conference, 2001. Proceedings of the Winter
  • Conference_Location
    Arlington, VA
  • Print_ISBN
    0-7803-7307-3
  • Type

    conf

  • DOI
    10.1109/WSC.2001.977308
  • Filename
    977308
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2118841