Control variates for quasi-Monte Carlo

  title={Control variates for quasi-Monte Carlo},
  author={Christiane Lemieux},
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. Using the MC formula for the control variate coefficient can worsen the performance of QMC methods. A good… CONTINUE READING
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