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 name="lemieux17">
<ref>Glasserman, P. (2004). ''Monte Carlo Methods in Financial Engineering''. New York: Springer. {{ISBN0387004513}} (p. 185)</ref> <ref name="varred17">{{cite journallast1=Botevfirst1=Z.last2=Ridderfirst2=A.title=Variance Reductionjournal= Wiley StatsRef: Statistics Reference Onlinedate=2017pages=16doi=10.1002/9781118445112.stat07975}}</ref>
==Underlying principle==
