Control Variates for Quasi-Monte Carlo
نویسندگان
چکیده
منابع مشابه
Control variates for quasi-Monte Carlo
Quasi-Monte Carlo (QMC) methods have begun to displace ordinary Monte Carlo (MC) methods in many practical problems. It is natural and obvious to combine QMC methods with traditional variance reduction techniques used in MC sampling, such as control variates. There can, however, be some surprises. The optimal control variate coefficient for QMC methods is not in general the same as for MC. Usin...
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ژورنال
عنوان ژورنال: Statistical Science
سال: 2005
ISSN: 0883-4237
DOI: 10.1214/088342304000000468