Technique for increasing the precision of estimates in Monte Carlo experiments
The control variates method is a variance reduction technique used in Monte Carlo methods. It exploits information about the errors in estimates of known quantities to reduce the error of an estimate of an unknown quantity.[1][2][3]
^Lemieux, C. (2017). "Control Variates". Wiley StatsRef: Statistics Reference Online: 1–8. doi:10.1002/9781118445112.stat07947. ISBN 9781118445112.
^Glasserman, P. (2004). Monte Carlo Methods in Financial Engineering. New York: Springer. ISBN 0-387-00451-3 (p. 185)
^Botev, Z.; Ridder, A. (2017). "Variance Reduction". Wiley StatsRef: Statistics Reference Online: 1–6. doi:10.1002/9781118445112.stat07975. ISBN 9781118445112.
using the controlvariates technique. (The exact result is I = ln 2 ≈ 0.69314718 {\displaystyle I=\ln 2\approx 0.69314718} .) Antithetic variates Importance...
variance reduction methods are common random numbers antithetic variatescontrolvariates importance sampling stratified sampling moment matching conditional...
accurate result. The antithetic variates method reduces the variance of the simulation results. The antithetic variates technique consists, for every sample...
statistics, canonical-correlation analysis (CCA), also called canonical variates analysis, is a way of inferring information from cross-covariance matrices...
solution for the geometric Asian option; when used in conjunction with controlvariates in Monte Carlo simulations, the formula is useful for deriving fair...
{\displaystyle L} . In this sense, MLMC can be considered as a recursive controlvariate strategy. The first application of MLMC is attributed to Mike Giles...
dynamic programming equation in a Markov decision process, and as the controlvariate for application in simulation variance reduction. Hoffman, Joe (2001)...
of the N x variates and the xi are the n members of the sample. Then the ratio of the sum of the y variates and the sum of the x variates chosen in this...
exponential variates as follows: T = − ln ( U ) λ . {\displaystyle T={\frac {-\ln(U)}{\lambda }}.} Other methods for generating exponential variates are discussed...
reduction. Sample Rate Reduction Tweaking a Basic Bitcrusher by only variating the sample rate Problems playing this file? See media help. Digital audio...
killing dozens of people in execution-style murder. Fatality estimates variates between 135 and over 300. International sources reported that the attack...
artificial objects, in particular tools to make tools, and to indefinitely variate its makings." Homo Faber is the title of an influential novel by the Swiss...
, zN)T be a vector whose components are N independent standard normal variates (which can be generated, for example, by using the Box–Muller transform)...
Koch PSG1 Germany Semi-automatic sniper rifle 7.62×51mm NATO PSG-1A1 variates and used by Military Police of Bulgarian Land Forces.[citation needed]...
types and is obtained when applying the logit transform to beta random variates. Following the same convention as for the log-normal distribution, type...
probability distribution that is used in description of social, quality control, scientific, geophysical, actuarial, and many other types of observable...
algorithm for generating beta variates is to generate X X + Y {\displaystyle {\frac {X}{X+Y}}} , where X is a gamma variate with parameters (α, 1) and Y...
{\displaystyle 1-u_{1}.} This property can be used for generating antithetic variates, among other things. In other words, this property is known as the inversion...
clutch at the rear pulley in the same fashion as Vespa Grande, Bravo, and variated Ciao model, as well as Honda Camino/Hobbit scooters/mopeds. An electric...
1 ) {\displaystyle Z_{i}\sim {\mathcal {N}}(0,1)} variates, independently of past random variates. Return X ( t i ) = X ( t i − 1 ) + θ Δ G i + σ Δ G...
Global Information