Control variates: Difference between revisions

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(→‎Example: The number displayed is a standard deviation (not the variance, but its square root))
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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''. New York: Springer. {{ISBN |0-387-00451-3}} (p. 185)</ref>
 
==Underlying principle==
 
==References==
* Ross, Sheldon M. (2002) ''Simulation'' 3rd edition {{ISBN |978-0-12-598053-1}}
* Averill M. Law & W. David Kelton (2000), ''Simulation Modeling and Analysis'', 3rd edition. {{ISBN |0-07-116537-1}}
* S. P. Meyn (2007) ''Control Techniques for Complex Networks'', Cambridge University Press. {{ISBN |978-0-521-88441-9}}. [https://netfiles.uiuc.edu/meyn/www/spm_files/CTCN/CTCN.html Downloadable draft] (Section 11.4: Control variates and shadow functions)
 
[[Category:Monte Carlo methods]]
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