Adaptive Control Variates for Finite-Horizon Simulation
نویسندگان
چکیده
منابع مشابه
Adaptive Control Variates for Finite-Horizon Simulation
Adaptive Monte Carlo methods are simulation efficiency improvement techniques designed to adaptively tune simulation estimators. Most of the work on adaptive Monte Carlo methods has been devoted to adaptively tuning importance sampling schemes. We instead focus on adaptive methods based on control variate schemes. We introduce two adaptive control variate methods, and develop their asymptotic p...
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ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 2007
ISSN: 0364-765X,1526-5471
DOI: 10.1287/moor.1070.0251