Introduction to variance reduction methods
نویسنده
چکیده
All the results of the preceding lecture show that the ratio σ/ √ N governs the accuracy of a Monte-Carlo method with N simulations. An obvious consequence of this fact is that one always has interest to rewrite the quantity to compute as the expectation of a random variable which has a smaller variance : this is the basic idea of variance reduction techniques. For complements, we refer the reader to [?],[?],[?] or [?]. Suppose that we want to evaluate E (X). We try to find an alternative representation for this expectation as E (X) = E (Y ) + C,
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