4,732,723
edits
m (Bot: Migrating 1 interwiki links, now provided by Wikidata on d:q3554721) 
m (WP:CHECKWIKI error fixes using AWB (10093)) 

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''. New York: Springer. ISBN 0387004513 (p. 185)</ref>
==Underlying principle==
Let the unknown [[Parameter#
:<math>m^\star = m + c\left(t\tau\right) \, </math>
:<math>c^\star =  \frac{\textrm{Cov}\left(m,t\right)}{\textrm{Var}\left(t\right)}; </math>
minimizes the variance of <math>m^{\star}</math>, and that with this choice,
:<math>\begin{align}
{{refimprovedate=August 2011}}
==Notes==
<references/>
==References==
* Ross, Sheldon M. (2002) ''Simulation'' 3rd edition ISBN 9780125980531
