Title :
Control variates techniques for Monte Carlo simulation
Author :
Szechtman, Roberto
Author_Institution :
Dept. of Operations Res., Naval Postgraduate Sch., Monterey, CA, USA
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;
Conference_Titel :
Simulation Conference, 2003. Proceedings of the 2003 Winter
Print_ISBN :
0-7803-8131-9
DOI :
10.1109/WSC.2003.1261417
