using the control variates 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 variates control variates 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...

of Economic Dynamics and Control, Volume 21, Issues 8-9, Pages 1267-1321 Rubinstein, Samorodnitsky, Shaked. Antithetic Variates, Multivariate Dependence...

statistics, canonical-correlation analysis (CCA), also called canonical variates analysis, is a way of inferring information from cross-covariance matrices...

variables Indexed search Variance reduction techniques: Antithetic variates Control variates Importance sampling Stratified sampling VEGAS algorithm Low-discrepancy...

solution for the geometric Asian option; when used in conjunction with control variates in Monte Carlo simulations, the formula is useful for deriving fair...

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...

dynamic programming equation in a Markov decision process, and as the control variate for application in simulation variance reduction. Hoffman, Joe (2001)...

{\displaystyle L} . In this sense, MLMC can be considered as a recursive control variate strategy. The first application of MLMC is attributed to Mike Giles...