Control variates: Difference between revisions

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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.<ref>Glasserman, P. (2004). ''Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability) (1 ed.)''. New York: Springer., ISBN 0387004513 (p. 185.)</ref>
 
==Underlying principle==
:* [[Importance sampling]]
 
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==Notes==
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