Combination of General Antithetic Transformations and Control Variables

  title={Combination of General Antithetic Transformations and Control Variables},
  author={Hatem Ben Ameur and Pierre L’Ecuyer and Christiane Lemieux},
  journal={Math. Oper. Res.},
Several methods for reducing the variance in the context of Monte Carlo simulation are based on correlation induction. This includes antithetic variates, Latin hypercube sampling, and randomized version of quasi-Monte Carlo methods such as lattice rules and digital nets, where the resulting estimators are usually weighted averages of several dependent random variables that can be seen as function evaluations at a finite set of random points in the unit hypercube. In this paper, we consider a… 

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